Let's learn to locate files on your computer once you have download "Complete" in uTorrent (Tomato Torrent).
First thing to understand is that "torrent" may (and usually does) consist of a few files and/or folders. It's like a package.
When you start downloading something (click any file on the site), you will see this window:
You can change the folder the files are downloaded to, by clicking "..." button to the right, and choosing the folder you like.
Now when you press OK, the download will start.
HINT: You can also change the default folder files are downloaded to by going to Options -> Preferences in the top menu, clicking "Downloads" tab then and choosing default location for "New Downloads".
Now once your download is complete, just open "My Computer" and go to the folder you downloaded this to.
HINT: You can also click any torrent in uTorrent with the right button of your mouse, and choose "Open containing folder.."
You now know how to locate files you have downloaded :).
What to do next?
Here are easy guides to learn how to put different types of contents onto your PSP:
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Music to PSP
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Movies (Videos) to PSP
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Games to PSP
And the following little article will teach you to deal with archives (if you see files as ".rar", ".zip", ".arj", ".r01", ".r02" etc):
Dealing with Archives
Good Luck!