If you have a card reader, put your psp's memory card into it and it will show up on your computer as an external drive. On the card you should have a folder called 'picture' (or 'photo'). copy the pictures you want into that folder on your memory stick and you should be good to go.
If you don't have a card reader than connect your psp to the computer with a USB cable and then go to the system menu on the psp and select 'usb connection' and click X or Circle (whichever is your confirm key). the computer will recognise the psp as an external storage device and you can browse to your memory stick from there.