This is very handy if you didn't buy a large memory card for your device and you have a huge amount of music. You need to have a wireless network if you want to do this. You don't have to configure a web server or anything.
Download the two things on the first page and install the "dotnetfx" and the other file in that order. If needed update your psp to 2.70 or higher. To check what version you have go to "settings" scroll to system settings then scroll to system information and click that, your number will be next to system software. If it's lower than 2.70 go to your setting menu and click network update.