My first thought is that the PSP can only decode specific video codecs and at certain resolutions, so if you're exceeding those parameters or using some codec that the PSP doesn't understand, you're going to have problems.
The pictures should be showing up provided they're in a format the PSP can understand, though you have to remember it has limited memory (32MB -- the slim units have 64MB, but the additional 32MB is reserved for UMD caching) so really high resolution pictures may not work.
And the music, again, it only takes specific codecs, and I don't think it will do DRM protected files. So, if you bought some song off of iTunes, you probably won't be able to play it. It might do WMA DRM, but I'm honestly not sure and wouldn't bet on it.
So, short of knowing some of these important details, all I can say is go back and make sure that you're encoding the video in a format and resolution the PSP can understand, and same with the photos and music. If it still doesn't work, then you're clearly doing something else wrong or you have a defective unit. You should also be sure you're running the latest firmware, which to date is 3.90.
I bought my PSP slim about a week ago so I'm trying to check out all it's fuctions. I'm trying to transfer home videos, pictures and music but having trouble. I use Nero Ultra 8 to encode the videos. My first problem is Nero says it doesn't see a psp attached to the computer, which it is. So fine, I'll encode and try transfering manualy. So I read some forums of which files to make on the memory stick, put the videos in the proper files but my PSP says there is no videos in the memory. I know they are there because I can see them on my computer. The same with pics and music. Can anyone offer some advice?