If you didn't already know, you can download files and save them onto your Memory Stick with the PSP browser. For example, MP3's, MPEG4 movies, images, etc.
DOWNLOADING PHOTOS & IMAGES
Find the image or link to the image you want to download. Scroll and hover over the link/image. Then press Triangle to go to the menu. From there, go to the first menu option: File. Press X.
1. It's an IMAGE ITSELF (you are hovering over the actual image), go to Save Image, choose a filename, and press Save.
2. If it's a LINK to an image, go to Save Link Target. Then choose a file name for the image (if you want) and click Save.
Find the link to the music file you are going to download. Click the link. Then it should say, "Do you want to save this file?" Click "Yes". Then choose a name and/or directory where to save it to. (Note: I recommend that you keep it in the regular "PSP\MUSIC" directory.) Then, once you're done saving the MP3, you can press Home if you want and go to Music and listen to the MP3 you just downloaded. (Note: If you press Home while the browser is open, it completely closes the browser.)
Find the link to the movie you want to download. Hover over it. Then press Triangle and go to File. After that, go down to Save Link Target and click. You may want to choose the directory as "PSP\MP_ROOT\MNV001". Now wait for your movie to finish saving.
I hope this helps anyone who wants to download content for the PSP off the web browser.
Also, note that if you want to download a file, it has to be in its own format already. For example, if you want to download a movie, it HAS to be MPEG4 format already. It can't be a ".zip" or ".rar" file. To make sure it is, check the file extension when you are able to choose the name for the file. Here is a list of the extensions they HAVE to be:
Music file = .MP3 , .AAC , .WAV (I think)
Photo file = .TIFF , .GIF , .PNG , .BMP , .JPEG
Movie file = .MPEG4 , .MP4
I'm kinda uncertain if the extensions are correct, so if anyone can correct, please do so.
Some sites to TEST download files:
Movies: http://www.psppalace.com (Thanks to sALMAN for the link.)