Humm...tghe first thing is to check your firewall for its access on port 80 and obviously allow it from any computer as thats what you'd need for a web server type machine. I guess you already have a webserver program installed but you might have to do some configuration with that methinks.
You might want to check your ISP info about it aswell, i cant see them being a problem but its worth a check and also remember that as youll be using it as a webserver the bandwidth usage will go sky high so if your isp has an upload limit or bandwidth usage limit then you might want to watch it closely. Also it will depend on your connection speed as to how quickly you can download music from it onto your psp obviously.
Other than that i cant see many problems but ive never set up a true webserver, i used my webserver program to make a local server and it worked on my mini network but i dont know about the web. Best thing is trial and error, just remember the security issues of having your port 80 widely accessible by the web make sure your firewal checks traffic and can block it on its own if it needs to and such like to make sure no-one gets past your public html folder(s)
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