Great guide by Joystiq on how to get your PSP setup with the new Xbox 360. Looks pretty simple to sync them up, obviously, it was meant to be that way (since Microsoft has no competing handheld, of course).
"Presenting the official Joystiq guide on getting your shiny toys to play nice together: your Sony PSP and your Microsoft Xbox 360. Just like iPod integration, this seemed crazy, but we are here to announce: it works
great."
Source