If you are truely a first time coder, forget the PSP completely. Learn a language and the concepts on the PC (the easiest platform and environment) then develop for other hardware later when you have a much better idea of what is involved.
If you intended to learn C/C++ then look at my article on 'Where to Start C++ Programming'.
http://parabellumgames.no-ip.org/articles/
However, Python is one of the easiest langauges to grasp and allows you to learn the concepts easily. Used with Pygame (SDL bindings) and you can easily make games out of it.
Another alternative is C# (a great OO language) with the ever improving XNA SDK. However this limits you to the PC and Xbox360 for development.
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