theres two things you can do and both are recommended.
1. downgrade the psp and install the user made custom firmware on it. Very easy to do.
2. buy a big memory stick, they are pretty cheap. 2gigs is like $30 here.
So now with that memory stick, you can put whatever you want on there. Movies, shows, music. Basically you just hook your psp up to a computer, the computer recongnizes the PSP and lets you access it like you would a USB memory stick. Drag the files you want into it and BAM done. This is better because using the memory stick extends the battery life as well.
It is also possible to put old nes games, snes games, playstation 1 games..ect on the psp using this method and play them.
Read the psp-hacks.com forum for more. Great mod community and its really not as hard as it sounds.