One question Foszy - you are putting the PSP into USB Connection mode, aren't you? You do this from the System Settings menu - it's at the top of the menu, just under Network Update.
> If SD does mean the brand SanDisk, yes the PSP takes them - but
> "an SD card" usually means Secure Digital, which is a
> different format altogether.
Oh, my mistake then.
> The PSP doesn't take SD cards, so I presume you mean a Memory Stick
I'm pretty sure he means ScanDisk which the PSP isn't supposed to take but is still capable of doing so. I think.
My nan's computer has the same problem though.
There's nothing 'special' you need to do. Your computer should detect the PSP automatically.
What version of Windows are you running?