iTunes M4V is a video container format developed by Apple and is very similar to the MP4 format. But M4V files may optionally be protected by DRM copy protection. Apple uses M4V to encode video files, such as TV episodes, movies, and music videos, in its iTunes Store.
If you want to watch them on PSP, you need to remove the drm first. There are many programs that can do this, I always use Adoreshare M4V Converter. You can try
Step 1. Import M4V Video Files
Step 2. Select Needed Output Format
M4V Converter Genius provides 6 categories for you to locate needed output format more easily: Recent, Devices, Video, Web share, HD & 3D, Audio.
Step 3. Specify Output Folder
By default, all converted videos are saved in a folder named "Adoreshare". You can also set another output folder by clicking the browse button.
Step 4. Start Converting
At last, click on Convert button in the bottom right corner to put an end to the whole conversion. The process bar will be displayed with the number of videos that are being converted.