I’m guessing you put the PSP in USB mode and it just sees/transfers/sends info around. ..A source with an Xbox 360 developer kit has been so kind to post images of the Sony PSP and the Xbox 360 interacting with each other. This feature was one of the surprises Microsoft had touted at E3 2005 earlier this year, a feature that probably drew significant attention from the Sony camp. Link.
PSP and Xbox 360 Interactivity