I have written a tutorial (and soon I will write more) about PSP homebrew development. Click here: http://www.lunarzone.net/pspdev/
The first tutorial in my set will teach you how to set up an environment (on Windows) in which to develop PSP applications. This features a different method than the pre-compiled PSP toolchain, and my method seems to be more common, as both of the open-source applications I've downloaded by default demand this method.
The method I'm talking about is using the PS2 Dev Environment (for Win32). In my opinion, this is the best way to go, due to it being so common (and easy to use).
Let me know if you have any problems compiling anything when you use my tutorial.. I haven't tested my exact steps from the ground up yet. Message me on AIM (Josh1billion).