As was widely speculated for months now, the PSP will have direct access to the PlayStation Store via its infrastructure mode (internet connection hot spot). It was made official at Sony’s conference at TGS 2008.
In other words, having to link your PSP to a PC or a PS3 will no longer be necessary. The service will first launch in Japan on October 15th, and will likely be available worldwide shortly thereafter.
TGS 2008: PSP to Get Direct Access to PlayStation Store