From what I understand of the PSP, as long as you do not download and install any of the unauthorised codes, or patches that bypass the installed controls from Sony, the pop-ups and spyware is not an issue. It is when you install those things that your PSP is suseptable to spyware, trojans and popups.
Here are a couple of articles that explain it better than I can.
Computer World New Scientist
Hope that helps.