No, transferring JPEG/PNG/MP3/MP4 files from PC to PSP via USB or Memory Stick cannot directly infect the PSP. The PSP's OS (GameOS) does not execute code from media files, and its architecture (MIPS) is incompatible with Windows malware (x86/ARM).
Your PC is infected → Malware copies itself to the Memory Stick as an executable (.exe, .bat, .scr, .pbp) → You run it on a *hacked* PSP (CFW) via Game Menu.
Drag-and-drop photos/music = safe. The danger is what *else* you put on the stick and whether you run unsigned code.