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How to download MP3 and JPG files from WinXP to Sony PSP

I just bought a new Sony PSP and am having a heck of a time figuring out how to get it to work with my Windows XP PC. I know I can copy music and pictures onto the PSP, but I don't know how. Help?

Good news. It's not difficult to accomplish what you seek, but there are a number of steps required to download files from your PC to your PSP.

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...