Things to remember when connecting PSP to your computer

Improper connection between PSP and PC may damage data inside the memory card.

• It is happen whenever you connect a PSP that is still in Sleep Mode to your PC using USB cable.
• Always dismounting the memory card before disconnecting your PSP from your PC
• Make sure PSP would not fall into Sleep Mode when it is still connected to the PC, you can avoid this by turning off the Auto Sleep feature inside the Power Settings menu. You can still conserve power by turning on the Backlight Auto-off setting, also under power settings into two minutes (the lowest setting)
  

You may consider buying an USB cord to supply power to the PSP.
Your saved games are all stored inside PSP>SAVEDATA subfolder inside the memory card. Copy it to your PC hard drive or burn it to a blank CD.

Always remember to dismount the memory card before disconnecting the PSP, in Mac you do this by dragging the Memory Card icon into the trash or in Windows by "Safely Remove Hardware". After PSP is dismounted, then press O button in your PSP to fully disconnect the PSP from the PC, then you may unplug the USB cable from the PC.