It may depend on the firmware version of your PSP. If the version is before3.0, it seems that you have to make a directory named “MP_ROOT\100MNV01” under the root directory. Before you put your videos into that directory, you need to rename them like “M4V***.MP4”(*** means five random numbers). If the version is after 3.0, put the videos into “VIDEO” document under root directory is OK. If there were no that document, just create one.
If the videos you want to put into your PSP are not MP4 format, you need 3rd party software normally called video converter to do conversion. I prefer to use Aimersoft DVD Converter to do that job for it supports various video formats to be converted. Actually Aimersoft has another software named Aimersoft PSP Converter Suite can do all jobs for you to help you put videos into your PSP. May be you can find some help here: http://www.aimersoft.com/psp-converter-suite.html.