And you also need one of this:
They go from 16 MB to 16 GB.
And once you get it on your psp for the first time:
You should format it, you do this by going to Settings»System Settings»Format Memory Stick on your psp.
Now, just plug your psp to the computer, the way Keaton421 said, and go to Settings»USB Connection on the PSP and look for the Picture folder on the PSP directory on your computer to put pictures in it and for music look for the Music Folder.