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Connect the Mini-B (5 pin) USB cable to the port of the PSP. Plug the larger end of the USB cable into a USB port on your computer. Locate the "Settings" menu on your PSP and select 'USB Connection. Manage your PSP data on your computer.

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This is the same type of cord you use to connect controllers to the PlayStation 3, but your PSP should come with its own. The port for the Mini USB cord is on the top of the PSP for models 1000-3000. Turn on your computer and the PSP if they are not already turned on. " On the PSP's main menu (know as XMB [Cross Menu Bar]) select left-most menu, the "Settings" column. Then move down to the 2nd top-most option, "USB Connection." Press the accept [X] button. You can download Sony's MediaGo application onto your computer to manage your installed games and other media, as well as purchase and download stuff from the PlayStation Store.  Your computer will automatically charge your PSP 2000/3000. You can use your computer's file browser to navigate to the now connected PSP and explore around there to manage the files manually. Put music in the music folder on your PSP, pictures in the pictures folder, and so on. You can also back up your game saves by finding them in the save data folder.