Mp3 Player and PSP Problems?

I have been trying to download music to my mp3 and psp. For some reason, it will not allow me to. What's weird, is that every time I connect either one of them to the computer, on the computer it shows up all the songs that I have on both of them, even though there are none. I always go into WMP, and Sync the music to the device. I thought that was the easiest way. Am I doing anything wrong? I know the psp is not defective, but the mp3 player might. I did however, manage to put a couple of songs on my mp3, but I cannot remember how i did this? Anyone have any suggestions? Thanks a million!