With firmware version 2.70+, the PSP is able to download content via RSS feeds, although only certain formats are currently supported. The supported formats include images, video and music. Video and image support is available in firmware versions 2.80+
Firmware Version 2.60/2.70/2.71
You can only download MP3 content of you are using firmware version 2.70 or 2.71.
Firmware Versions 2.80+
If you are using firmware 2.80, you are able to download music, videos and photos using RSS feeds.