Sony announced their plans to have a movie download service for the PSP, beginning sometime in the first quarter of 2007. You will need to download the movies onto your PC and then transfer it over to your PSP. This is similar to how PSP owners have to get original Playstation games onto their PSP, they have to do it through the PS3. Amazon, CinemaNow, and Movielink are all in negotiation talks with Sony to allow their movies for the service. Sony will also release a new 4GB memory stick for the PSP, which can store up to 10 full length movies.
Via Gamasutra.
