It needs to be converted to MPEG-4 Video Format.... download the Video you want and then download PSP Video 9 from
Here once u have finally installed it... open PSP Video 9 make sure u have your PSP connected allready before opening it ( makes it alot easier ) if you have your PSP Connected and PSP Video 9 cant recognise it tell it to search for it again ( shouldnt do that anyway )... Once opened click "Convert" in the Left hand pane window now another page should open click on "Transcode New Video" .... Select the video you wish to upload and then begin Transcoding... once it is completed click on "Copy" in the Left hand pane Window and where ever u saved this Video it should appear.... Click on the movie u wish to copy and then Click "Copy Video to PSP" it will then begin copying.... Good luck and enjoy