TO get online with the PSP, there are different options.
The two "default" options with the PSP, is ad-hoc mode (which is connecting directly to another PSP wirelessly).
The second is using a wireless network, but you can only connect to games on that same network.
Now comes the real complex (not really) instructions.
You will need a PC connected to a router with an either net cable, and the PC needs to have a wireless network card.
You need to download a program from
www.xteamlink.co.uk (link may be wron, but I will double check when I get home and post the correct link).
After downloading the program, you need to create an XTeam account.
You install the program, set the PSP to ad-hoc mode and connect to the PC with the wireless card. You use the program to find games across the interenet.
To put music on the PSP, all you need is a memory stick and a USB cable. COnnect the PSP to the computer with the USB cable and put the music in the correct folder wich is PSP/Music
Now for videos, you need the PSP 9 Video program (do a search on Google to find it). You will need to convert the video to the PSP format using the PSP Video 9 and then copy the converted video to your PSP via the USB cable.
Hope this helps, if you need more info, just ask and I will provide more help.