Generation has passed by since you marvelled the invention of the Walkman and even the CD Walkman. Variety and availability of files should be your first consideration.
MP3 files in Napster were stored on each user's machine, instead of on one big central computer. The first variant is when music is played live as long as you are online; in case of downloading you get music files copied to your hard disk, so they can be saved and played offline. The ability to share files and to sync wirelessly is a feature users find very useful.
All you have to do is connect your iPod, open up iTunes, scan all the mp3 music files into the library and sync your library with your iPod. There are more than a million songs and soundtracks to download. Several of the more established services are providing free software applications required to download iPhone music as well as movie and video files.
Now that you know how to download MP3 to PSP go out there, start downloading and enjoy your PSP. Napster had to reinvent themselves and now you pay for their service.