There's a lot of info about the PSP programs here:
PSP Emulation News
When it comes to movies there is a very cool program that can be downloaded for free (It is always nice to donate some money to them) is called PSP video 9. It converts .avi files into PSP format (and helps you install them into the memory stick in your PSP).
If you need to convert from other formats into avi. You can use the RAD video tools software (this one works pretty good for me). You can find it here:
RAD game tools
I hope this helps.