yes u can download songs 2 ur psp, and u can download videos and images... basiclly when u got ur psp ther must be a USB cable with it... so...
1. download song, movie, image, watever u wnat
2. connect usb 2 computer
3. ur coputer will tell u therz a new device found... it might ask u for a cd and if it does it will be in the box with the psp.
4.after thats done just go 2 MY COMPUTER find the device and copy paste the items on it