well there are two ways to do it. You can either connect to a wireless router and download from any psp site (just google it and hundreds will pop up). Or you can download to your computer and transfer it to your psp via usb cable. Remember that most videos have to be converted so getting a video converter would be best and there are some free ones out there.
As far as music goes its just drag and drop into the music folder when you connect to via usb cable. It only plays MP3s unless you enable WMA files. It doesn't play anything else.
The best way to do it is to move it from your computer to your PSP. The usb cable is around $5 or less and it looks just like a digital camera usb cable. That cable is a must have.