Its time to start using your PSP to its full potential. I bet you just switch it on and play your games. The Sony PSP is so much more than just a games console. I love to watch movies on mine, especially when I'm traveling on vacation. I have also started to listen to a lot of music on it, I have loads of memory sticks filling up with all my favorite tracks. Its good to be able to carry with me one piece of kit that does everything, play games, watch movies, listen to music and browse the Internet.
For you to be able to listen to music on your PSP it must be in Mp3 format, you can buy software to convert the music easily. basically you insert your Music CD in to your computer load up the software drag the tracks you want in to the software and click convert simple as that.
You may have lots of your own CD's that you want to convert to listen on your PSP and thats cool. You could also want to download music to your computer and convert that. Just remember when downloading music to stick to the law there are tough penalties these days for breaching copyright. There are many places where you can legally download music from and if you stick to these you will be fine.
I have been downloading music for a long while now without any problems. I am a member of a site that has literally thousands of updated tracks to download. You have to pay a small membership fee but its a safe way to download from a trusted source. They also have games and movies included in the membership. You never have to pay any more money just the one of fee. it comes recommended from me but if i was you i would check it out for yourself and see what you think.