If your PSP firmware version is below V3.0, just follow these steps:

1) create a folder named "MP_ROOT" in PSP memory stick

2) inside that folder create an "100MNV01" folder, and a "100ANV01" folder.

3) If your video is MP4 format, rename it with this format "M4VXXXXX.MP4", rename the thumbnail with this format "M4VXXXXX.THM", XXXXX are five random numbers you like.

4) If your video is MP4, save it in the "100MNV01" folder, but if it's AVC video, save it in the "100ANV01" folder.

But If your PSP firmware version is above V3.0, there is a little difference

1) Create a folder named "MP_ROOT" in PSP memory stick

2) Inside that folder create a "Video" folder

3) Then copy your MP4 file to this folder
Now you may make clear something about this naming rule, but I think it seems a little complicated, isn't it? here an easy way will be shown for you.