Connect a USB Cable.

do a full power off on the PSP, ie hold the power button for 5 seconds until it properly turns off. a short slide of the power button only puts it in standby mode.

also (on the PSP) check under Settings > USB Auto Connect (ON) - ensure this is enabled. makes it easy to connect USB with this turned on. but you need an up to date firmware on the PSP for this setting.

still no go?
try and restart the computer and plug the PSP back in once you have your desktop up.