First of all download EAC Audio: Code:
ftp://downloads.codemasters.com/upgrade/Codemasters_EACSetup.zip
Open it up and convert your MP3's to the .toc format.
Once its done take the toc files and change the extension from .toc to .gta.
Once thats done take the newly converted files and put in a folder called ULES00502CUSTOMTRACKS.
Take that new folder and put it in your SaveData folder on your PSP.
Start up VCS and go to the pause menu, then Audio.
In the audio section turn on Custom Soundtracks, then just listen to them as if it was a radio station.