Sure, you can transfer audio and video files to PSP from your computer. But first of all let's make it clear which media formats does Sony PSP support. For audio playback PSP accepts a lot of well-known formats such as MP3 , WMA , uncompressed WAV files and ATRAC from Sony Connect music store which was closed in 2008. In other words you will likely get MP3 or WMA files from any source and transfer them into PSP without a difficulty. For video playback Sony PSP device can handle MP4 and AVI videos optimized for PSP display resolution.
The essence of the matter is that PSP may not display most videos correctly until you optimize them. And there are a lot of popular video file formats such as MKV, iTunes M4V, FLV, and Real Media that will certainly not play on your Sony PSP.
Actually there are two ways you can get videos on PSP. Get movies on Universal Media Disc (UMD) via Sony local store or over PlayStation Network (PSN). Though the video selection may be poor or incomplete. UMD is is an optical disc medium developed by Sony for use with PSP. This can be a proper way if you intend to watch movies on PSP only. But when you already have a huge video library on your computer in different formats, then MP4 Converter software will help you to convert video to a format and resolution that PSP supports.
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...What!?
No, you can't DOWNLOAD a disk! There are two ways to get a PSP movie:
1. Buy the UMD for it at a local store, though they are exceedingly hard to find.
2. Buy the movie over PlayStation Network (PSN); price varies with popularity AFAIK.