What's your skill level? If you're absolutely, absolutely new to coding, I would start out with learning C on your home computer. Google "C/C++ tutorials" and you should find a slew of helpful tutorials to get you started.
As far as programming specifically for the PSP goes, there's some great tutorials available at http://www.scriptscribbler.com/psp/tutorials.
Also, if you're new to console programming, you may want to try programming for the GBA first. There are lots of emulators available for it, so it's pretty easy to test on your home computer. It's also been around longer than the PSP, so programming for it is documented A LOT better (non-official PSP programming is only a little more than a year old, and it's not extremely well documented, and some methouds are still pretty spotty). So, it may be easier to get started with, while still using a lot of the same concepts as PSP programming. A GBA programming community hub is here: http://www.gbadev.org/. And a very comprehensive guide for programming is available at: http://www.jharbour.com/gameboy/default.aspx.
A lot of people will suggest that you try Lua because it's a lot easier to write for, but it's got some funky syntax (whereas JavaScript, ActionScript, C, and C++ all basically use the same syntax and if you can read/write one, it's very easy to understand any of the others. I've personally never run into another scripting/programming language that match Lua's quirks), so I'd personally suggest doing the hard work in C if you have any real interest in actual programming. If all you want to do is make some simple apps/games, then Lua is a great choice and you can find a good tutorial at: http://wiki.pspdev.org/psp:lua_player:tutorial?s=psp. There are lots of other good ones available as well.
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