I imagine it would be quite simple, pixel control on the PSP is pretty easy from what I've read, so once you get the network layer down, and grab a codec, the rest should be pretty simple. I've been thinking of trying something like this, but have not got familiar enough with current PSP code to do anything about it, although I do have C/C++ experience(not much mind you), and over 8 years of coding knowledge(Perl/PHP/Pascal/VB/ASM, easy languages but I didn't really need C back then); I digress.
I think I remember there being an example for the PSP wireless connection that involved an image being sent to the PSP from a PC, and being displayed on the PSPs screen. I'll have a look for it, as it would show how to post a pre-made image on the screen, although I image that is fairly easy anyway with APIs.
Edit: here is the address to the 1.0, 1.5 versions, along with the source code aswell. http://aibohack.com/psp/wifitest.htm
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