Would you like to see the stuff on your PC first before transfering them to your PSP?
I suggest using mpegable player.
With it you can first try out your ripped/converted movies on your PC or stuff that you downloaded from .connect site if they are really worth keeping on your PSP's Stick.
Download the Standalone player
HERE
Alternatively, you can also install
this decoder in order to play mp4 encoded files within your Windows Media Player. But I feel standalone will be a better choice now, since it may disable or cause mix up with other decoders.
Check out the screenshot here:

CLICK