Adding a video to your PSP observes is quite difficult.
PSP supports only videos, having the MP4 format whose extension is *.MP4.
PSP Video Converter or PSP Video 9 will convert any format towards MP4 format compatible with your PSP.
On your PSP create directory MP_ROOT
(at the same level with PSP directory). Then create subdirectory 100MNV01
Finally, drop all your MP4 files in this directory renaming them as M4V00001
, then M4V00002