I have no PSP myself, so I cannot test this myself, but I found a Tutorial for you: http://www.mypsp.com.au/GuideDetail.aspx?id=212 Enjoy !
That looks good. Another way would be to get the cable to comnnect your psp to your TV. Now pluf the fono video lead into a tv tuner on your PC. Then you can do it with xbox ps2 and any other device you have fono connections etc. I haven;t tried this, just i should think it would work in theory.