The only way a "virus" could attack your psp is if you download it, move it to the game folder, then run it like you are playing homebrew. Just stick to legit sites like dl.qj.net and you wont have a problem.
Not true. And what I mean is not a virus designed for PSP, I mean a windows based virus can corrupt data on the memstick when you PSP is connected to the PC. Resulting in a semi-brick or if you happen to be accessing your flash0, a total brick.