On XP, my PSP just connected up automatically, but I had to manually do it on Vista. I turn it on without a UMD in so that it boots to the X-bar (or whatever it's called). Then go to Settings > USB Connection and press X. That installed the device drivers and connected it just fine. Note that every time I want to connect it up I have to put it into USB Connection mode and it only stays connected while in that mode.