On a psp with firmware 2.80 or lower:
MP4-SP videos must be placed in <PSP's drive letter>:\MP_ROOT\100MNV01 and named M4V#####.MP4 (the # being any numbers you wish, I believe there must be 5 numbers though)
AVC videos must be placed in <PSP's drive letter>:\MP_ROOT\100ANV01 and named MAQ#####.MP4 (the # being any numbers you wish, I believe there must be 5 numbers though)
If your psp is running firmware 2.81 or above, all videos can be placed in <PSP's drive letter>:\VIDEO and named as you wish.