It's difficult at best.

I recall Z33 posting a method before - but unless you know how to demultiplex the audio stream, and modify the sourcecode of the PSP AT3 player to output to a file (and of course, recompile it)...

Another way will involve some audio quality loss, as you'll need to capture the audio via analogue means (that is, you need one of those audio-audio cable thingies).  If you have one of those cables, plug one end into the PSP's headphone jack, and the other into your computer's line-in jack.  Then play the PMF with the PSP PMF player and capture the audio on the computer.
Now that you have the audio, time to convert the video: get the PMF codec, then convert the PMF file with any encoder which uses DirectShow (I think XviD4PSP should be able to do it).
After you've got the video and audio stream, you'll need to combine (multiplex) them together; note that syncing the two may be a little difficult.  If you actually get to this stage, tell me, and I'll help you out.