PSPScoop Review:
The PSP can connect to a PC using a USB cable with a standard PC connector and a "mini" USB connector head (refer to picture)
I find that most mobile phones these days will provide USB cables that will do just fine. However, if you do not have one, you can pop by Sim Lim or Funan to grab one. The cable should cost less than $20 dollars.
This cable is extremely useful for transferring data (MP3 songs, video, etc) and backing up the games data in the your PSP so make sure you have one.