It's really unfortunate that the standard PSP packages don't come with a usb data cable, or at least mine did not. Without this type of cable, you're not going to be transferring any music or video files to your PSP, which means your PSP will just be a pure gaming or UMD movie device, which is a shame when it can be so much more. If there is one thing you should buy with a PSP, it's this.
Using it is fairly simple. Just plug one end in the PSP, the other in your USB port on your computer, and off you go into the world of transferring your songs and whatever other files your memory card in your PSP will hold (oh yeah, you have to buy one of those too because usually the included ones are so small they're worthless).
From my expereince, I saw great USB 2.0 transfer speeds when hooked up to a USB 2.0 port. I enjoyed the fact that the cable is just thick enough not to be bulky, but not thin enough to get tangled or feel flimsy. I also liked that it's not too long to be stuffed in a large pocket or bag compartment, and not too short that you'd have to keep it super close to the USB port.
If you have other devices like MP3 players or other small electronics that connect to USB, check those cables as well, as they might be identical and work with your PSP. After buying this one I noticed my mp3 players cable was identical, could've saved the money.