Well I have a PSP and I have done this occasionally.
Basically I also have a Windows Media Centre 2005 PC which has a TV tuner card (with composite video inputs) that is connected to the second scart of the V+ box.
If I want to transfer a programme from the V+, I go into the extra's menu and choose archive to DVD. Then on the Media Centre PC, I record the programme as it plays.
This is recorded as an AVI file which you can then convert to the correct format for the PSP - basically an MP4 file. I use a program to do this called AVS which seems to convert just about anything to anything.
As far as I know, there is no way to go directly to the PSP as it has no way of receiving a video signal.
It's possible that if you have a PS3 as well, when the new Play TV freeview TV receiver add on comes out, apparently now due out in September in the UK, you will be able to record stuff on your PS3 then watch it on the PSP using the "location free" software built into both or even transfer it to the memory card.
http://www.play.com/Games/PlayStatio...V/Product.html