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As far as I know the only way to transfer things to/from the PSP is through a USB cable. On the home menu go all the way left and up to USB connection and you're set.
You'll also have to make sure you have the correct folder on your memory stick, for instance if you want to put mp3s on your PSP you have to have a folder named "MUSIC" or it won't recognize the files, it'll just take up space on your memory stick. I've never put a movie on but I'm certain you'll have to make a "MOVIE" folder as well.
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