Here are the steps you need in order to download their music successfully in your Windows PC to your new Sony PSP unit:

Connect your PSP to a PC with a USB cable. (about 10 dollars: buy a USB cable for your PSP)
Press the “home” button on the PSP (it’s a small button on the left bottom of the screen), then use the left-right directional buttons to find “Settings” and press the top-down “to find “USB Connection” on the PSP.
Press’ X ‘button (you need the round button with an “X” on) and your PSP should display “USB Connection”.
In a moment or two your computer should tell you that a new USB device is connected, a new generic hard drive, usually E: or F:
Click on the letter that corresponds to the PSP unit.
Create a new folder on your hard disk and that the name “PSP”.
Under the new “psp” folder create a new folder and name it “music”.
Copy the MP3 files to a new “Music” folder.
When you’re done copying the songs, press “O” button on the PSP in USB Connection mode.

Use the left-right arrows to move to the music, then the down arrow to find “Memory Stick.” Decided that the folder by pressing “X” button again, and you should be able to find all your favorite music!

PSP in the older firmware (firmware is “operating system” for the PSP) does not support Windows Media formats WMA, WMV & ie, so all the music in this format are converted to MP3 before copying to your PSP. Fortunately, Sony itself Image Converter 2.1 can convert all your music with a very simple GUI, and subsequently the management of all measuring and transferring for you too.

if that does not help then here is a link to a freeware application that will put music on it for you.
http://www.download.com/PSP-Shuffle/3000-2248_4-10407187.html?tag=lst-0-2

PSP Shuffle will automatically fill your PSP with photos, music and videos from a folder on your computer that you specify. After initial setup, you can literally load your PSP with media in a few minutes with a single click. Features: Shuffle photos, music and videos at once with a single click. Percentage of the system allows more of a certain type of media, and others less. Easy installation, simply tell PSP Shuffle where to look to the media and at rest. Remember automatically mixing preferences and media locations. Automatic discovery of connected PSP or PSP formatted memory stick. File information indexed fast storage and retrieval. Indexing service automatically monitors your media directories and adds / removes file information on the index, because the changes. Optional is the original music and photography directory structure. User definable amount of space to be released on the Memory Stick.

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