You need to go to the official website (of Rockstar) to download a program that allows you to download music in a special way to the PSP.... unfortunately Rockstar made it so that you can't just put any old MP3 into GTA... you have to rip songs directly off of a commercial CD. There's a hack involving burning music to a CDR in a certain way, but I don't know where the thread is off the top of my head. You'll have to search around for that.. but I do believe it is on the forums here somewhere.
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