There may be a work around:
http://www.millstone.demon.co.uk/download/javaboy/ <--tehdsdude, if you would be so kind, go to one of the javaboy enabled sites listed, and try it...
(I know I asked to try other websites, already, I guess your the unofficail tester).
I'll bet that sony/sun hasn't take the time to build a JVM for the psp, but you never know, unless you try.