1. First off you need to get what they call a CD Ripper (iTunes, Windows Media Player or Winamp work well) and while you are at it I would definitely grab a psp video converter( Xilisoft PSP Video Converter). A CD Ripper lets you pull music (rip) of your cd's that you have now. The psp video converter will let you rip and convert video files to watch on your PSP...so you can watch and listen to music videos and music.
2. To convert audio CDs to MP3, launch the CD Ripper, load your audio CD, select the songs you want to download for your PSP and click the "Extract" button in the "File" or on the screen menu to convert CD. (See step 5 for transfer MP3 file to PSP)
3. If you already have music files on your pc then all you need to do is make sure they are in mp3 format, hit "add" from your psp video converter.
4. Make sure on all of the above you select the "PSP" format.
5. How to download music to PSP? Just connect your PSP with your PC with the USB cable, and copy your mp3 file(s) into "H:PSPMUSIC" where H: would equal the drive of your PSP.
Now that you have learned how to download music to PSP go and find some great music to download.