I will go through this ONE MORE TIME. The only difference between regions is movies. Games are multi-regional. Movies are not, because of some copyright law or something. So if you want to watch movies, wait. If you don't, buy an American PSP. If you are really impatient, buy and American PSP and buy the American PSP movies.
No, you CANNOT download music with the PSP. This would require a P2P program, which I doubt you'd be able to run in the PSP without some knowledge of making it compatible. You probably can, however, download things straight off of a website.
What do you mean "put it to the pc"? You mean connect to the internet? Ok. Whatever. Do NOT go out and buy Wipeout in anticipation of browsing the internet. It isn't as easy as turning on the game and clicking on "Browser". They have a browser, yes, but it links directly to the Wipeout Pure Downloads page. You have to redirect that IP and what-not to your own small site with links to outside websites. It is NOT as easy as some people make it seem.
A LAN is basically an internet cafe. It's just a place with a big network, and a bunch of PCs. You'd probably have to pay to do it, though.