Usb cable

Just like sorta of add-on to szwaan's answer:

You must have a memory stick to put music into your psp such as mp3 files, the psp itself does not have any internal memory for you to store any music files whatsoever.

if you got a memory stick already, connect your psp to your computer via usb cable, select usb under the setting section of your psp, and the memory stick drive will appear in your "my computer", so you can drag your music into the Music folder of your memory stick and play them from your psp.

If you have the little memory stick [duo stick pro something]
you should be able to get a little "box" that will allow you to stick several kinds of memory cards in it and it attached to a USB cable.

I'm not very knowledgeable on the PSP subject but maybe connect the PSP with a USB to the computer, if that's possible.

Hope this helps.