You can transfer your pics straight to your psp when you plug it to the ps2 and choose storage device.
Once you connect the psp to your pc it will be under the GT4 folder then just transfer them to your photo folder.
Hope this help someone.
I tried it this weekend and had no luck. It errors out everytime I try to send the photo to the PSP. I have the PSP on USB mode, is there something else I should be doing??