1. PSP Wallpapers
The easiest thing, goes first.

Just browse the wallpapers, and once you like one - click it, and then save on your PC.
If your PSP is connected to Internet via Wi-Fi, you can download it directly from your PSP.
On your PSP wallpapers should be in "X:\PSP\PHOTO" (where X: is the drive letter of your MemoryStick).

To change wallpaper, go to PHOTO menu in your PSP, select the image you want to make a wallpaper, and press Triangle. From the menu, select "Set as Wallpaper".

2. Games, Movies, Music
For this, first of all, read (and follow directions) in this PSP-Download-Welcome-article.

You now know how to download everything from PSP-Download-Center!
Then take a look at related articles:
How to put Music on PSP
How to put Movies on PSP
How to put Games on PSP

3. Enjoy! And should you have any questions, feel free to contact us!