1. Download the "Rockstar Custom Tracks v 1.0."
2. Insert an Audio CD into your CD-Rom/DVD-Rom drive (or make an Audio ISO with the songs you want, and then mount it with Daemon Tools etc.).
3. Choose the song(s) you want to put on your PSP (name the artist and the album if you want, just to be more convenient).
4. Press the PC to PSP button on the right of the application.
5. Now choose your GTA LCS Region (US or Euro. This should match your VCS region)
6. A new folder will be made on the PSP/SAVEDATA folder named either ULUS10041S0CUSTOMTRACKS or ULES00151S0CUSTOMTRACKS.
7. Rename this folder into ULES00502S92F0CUSTOMTRACK S (for the European version of GTA). I don't have the US version of GTA, but the only thing you've got to do is just rename the ULUS10041S0CUSTOMTRACKS to ULUSxxxxxS92F0CUSTOMTRACK S.
8. Boot GTA VCS and press the Start button while in-game. In the "Audio" options, there should be your songs.
Download link:
http://www.rockstargames.com/libertycityst...RCT_Install.zip