PSP compatible Audio format: MP3, AAC, WMA
Video format:Mp4
So you must convert video audio to psp, I advise you to use aimersoft psp video converter, it can convert dvd video audio for psp with quite fast conversion speed and excellent output quality, that's really good for me, you can free download it from it s official site:
http://www.aimersoft.com/psp-converter-suite.html
After you finished the conversion, connect psp to pc using a usb cable, go to psp select usb code. then open the memory stick on pc, you will see lots of files, just drag your music to "MUSIC" folder, then make a new folder called "VIDEO" on "MP_ROOT" copy your MP4 file to this folder, or you can turn to the above software, it has embeded a tool called psp video manager, which can help you add video to psp directly, very convenient