Put PSP Into Sleep Mode
To put the PSP into sleep mode simply press the power buttons upwards quickly and it the PSP will go into sleep mode. To completely shut off the PSP you would press and hold the power button for a few seconds.
The good thing about the sleep mode is that when you are playing a game and put it into sleep mode it will return to the same spot you left it which is great if you have no time to save the game. But, if you turned it off by holding the power button all your progress would be lost.