I have figured out how to have album art on the PSP.
You will need the following things in order to do so:
USB Cable or Pro Duo Drive
iTunes software on your computer
Internet Enabled on your computer
After installing iTunes onto your computer,
1. Open iTunes
2. In order for your music to play on your PSP the music will have to be in MP3 format, the default on iTunes is AAC. Click Edit at the top of the screen, now click Preferences , click the Advanced tab. Now a new set of tabs have appeared, click on import. Now go down to Import Using and change AAC Encoder to MP3 Encoder.
3. Now insert a CD into your disc drive. iTunes should automatically detect the titles of each track if your using a store bought CD. Up in the corner it will say Import click this button and iTunes will automatically copy the music to your library in MP3 format instead of AAC.
4. Now here is where the Album Art part comes in, now right click on a song. Click Get Info and then select album art, now you have to open up your internet browser and go to google search for an image of the album cover of your cd, and drag it into the box that appears under the Album Art Tab. Then press O.K.
5. You must repeat Step 4 for each song of the album or this process will not work.
6. Once you have completed steps 4 and 5, open up My Documents.
7. Open up My Music.
8. Open up the folder labeled iTunes, then open the folder iTunes Music.
9. Now all you have to do is drag the folder labeled with the Name of your album into the Musicfolder of your PSP.
10. Now when you look under Music you should see a Picture of The Album Art next to the title of the Album and Next to each song.