Before you can start programming for the PSP, we need to download and install the PSP toolchain. The PSP toolchain is a set of program tools which helps us develop for the PSP. Since these program tools were developed on Linux, it can take a little more effort to make it work on Windows. If you are using Windows, you have two options: using MinPSPW which runs natively on Windows, or using CYGWIN which is a Linux emulator. The first option being the easier one. Or if you are running on Linux, you can compile it directly from there.
Note: Both CYGWIN and Linux will take a long time to compile everything, where as PSP Devkit is precompiled, meaning you won't have to wait to get started.