I've had a quick look around,this may help.
The first step is to make sure that you have a Memory Stick Duo in your PSP and, if necessary, format the Memory Stick with the PSP itself (go to Home, then Settings, then scroll down to System Settings and use the 'X' button to select this option, then scroll down to Format Memory Stick and select the option). You'll only have to do that once.
Next, take the USB cable and hook one end into the PSP on the top middle edge and the other end into your PC.
Now, using the Settings menu, choose USB Connect and your PC should shortly see your PSP as a removable drive.
The very first time I did this on my Windows XP system, the OS installed some new drivers, then promptly told me it had to reboot for the device to be mounted on the system: