Works awesome for the PS3, sure the PSP is the same.. Just fire up the proxy on the PC, set up proxy on the PS3 or PSP, go back to PS3/PSP and select the file you want to download, go back to Proxy software on PC and get the link of the file you wish to download using the "log" feature of the program, download file via local account on PC, and set up proxy to redirect the file to pc, then resume on PSP/PS3.
Seems complicated but in reality it is very easy!
Pretty sure all Sony files are cached locally, so PSP should be the same as PS3
