I think you can only connect the PSP to a windows XP only, you can also connect your memory stick pro duoTM
The card reader that I have doesn't read the memory stick, you will need a special one or an adoptor. My instructions are for the UMD cable, buy one here
You will also need a memory stick duo with enough space on it.
Instructions for putting a wallpaper onto your psp
1. Connect your psp to your computer, using a special USB cable, Card reader or a card adapotor. The USB/Charger thing costs about £6.99 from GAME.
2. Turn the PSP on, don't put a UMD in it as it will load the game, go to settings on the main menu and go to USB connection, press "X".
3. Hopefully your computer should detect the "new hardware" something may pop up, just click install or automaticly install, something like that. Then if you go into my computer there should be a new drive, for me its the "I" drive. Thats the same as my mp3 player and connecting my psp is just the same as connecting an mp3 player.
4. Go into your psp, for me its The I drive. There should be a folder called "PSP" go into that folder, there should be 2 other folders, "SAVEDATA" and "SYSTEM" savedata might not be there if you haven't saved anything to your memory stick, don't go into any of them. Instead go to file, down to new and along to folder, call the foler "PHOTO" then make another folder called "MUSIC". I haven't saved any games to the memory stick yet but I have got a video. For a place to save videos go back to the extra drive where there is the "PSP" folder, create a new folder called "MP_ROOT" then go into that folder and make a folder called "100ANVO1". I downloaded a video from a site and those are the instructions they gave me, the video works.
5. Copy your music that you want to the "MUSIC" folder on the psp, some may not play because they are protected or not mp3. Check if they are mp3 not wma (windows media a???) don't know what the a stands for. They will not work, that was a shame becuase a lot of music on my mp3 was wma but I used a programme called audiograbber to get music from my CDs to mp3 format. Also copy your photos and images to the "PHOTO" folder and have fun! The psp can use digital camera pictures as a wall paper