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.

Links:

PSP Video 9

PSP Video Converter

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 etc..