Well, what you have to do is connect your PSP to your computer using a USB cable, then download or find the video you want to transfer and make sure it's a supported format of the PSP. Find your PSP folder (it says PSP, and its should be in a folder that says "Removable Disk F) and inside of going inside it like you should have done to put pictures/music on it, right next to the PSP folder make a folder that says VIDEO.
Then copy and paste the video into the VIDEO folder, and after its done transfering, it should be in your video folder on your PSP.
Or, if you have wifi, you could go to pspube.com on your PSP's web browser and download videos straight to your PSP.
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