"I want to listen to my Audible books on my Sony PSP. Is there any way to get the books on my player or am I out of luck?"
You should have bought an iPod. I'm kidding, of course, but Apple is the only vendor with across the board support for all devices in their product line, which likely has more to do with Audible books being available through the iTunes music store. This is a classic example of why having too many audio and video file formats is hurting the people who buy products. We turn our televisions on and they just work; digital audio and video passed through your home computer is a complete crapshoot.
I'm in the same boat with several media players, including my PSP. I currently have three portable players, including my PSP, with no Audible support. At just under $240 per year for an annual subscription to Audible, this is a frustrating problem. I'm not sure who is at fault here, but my guess is the device manufacturers aren't concerned with supporting Audible's proprietary format and Audible isn't willing to offer an alternative format; the customer suffers at the hands of marketers who don't do a good job of listening to what the customer wants. A firmware upgrade to the Zen Micro in September 2005 fixed the problem with that device, but dozens of other players won't work. While we all patiently wait for customer feedback to turn the consumer electronics battleship, the audio books are sitting idle. There are two legal methods for liberating your Audible books from their incompatible state and listening to them on any device.
One option for unlocking audio books is built into AudibleManager. Audible supports CD burning for most of their titles. When the CD is created, the audio book becomes just like any other CD-Audio disk. Open Windows Media Player, rip the CD and transfer the tracks to your Zen Micro. Keep in mind that a 10 hour book will require about 9 CDs. For a year's worth of Audible books, you may be looking at around 200 CDs to burn and then rip, which takes a long time. The advantage to this method is AudibleManager automatically divides the book into tracks, making it easy to skip through the book to a favorite part or to pick up where you left off.
In addition to the series of steps required to get the book from the Audible file format to a CD and back to MP3 or some other compatible file format, burning CDs isn't infallible. I made a few coasters with the AudibleManager before I realized the Roxio burning engine used by AudibleManager was conflicting with the Nero InCD burning technology that boots on startup on the system I used. The only way to turn off InCD is to end the process from the Windows Task Manager. If your system automatically turns on any background CD burning software, turn it off before attempting to burn a CD from AudibleManager or you will waste time and blank CD-R media burning your books.
My preferred method for converting the audio books from the proprietary Audible format to something I can play on my portable players is re-recording the files. This takes as long as the length of the book, but I end up with one big audio file when I'm done and no CDs to deal with. To re-record an Audible book, you need to make a few setting adjustments on your PC. Open the Record control for your sound card by clicking on the speaker icon in your system tray and switching to Record properties. Check the Select box in the Wave section of the mixer (if you have a SoundBlaster card, you can also use "What U Hear"). Make sure the volume slider is all the way up.
Turn off any system sounds to make sure they don't get recorded as part of the audio book. This includes sounds to alert for new mail and the noises that warn you of Windows system events. Instructions for this are included in my audio optimization article.
Open an audio editing application and start recording. If you don't have an audio editor, Audacity is a great free solution. From AudibleManager, start playing the audio book. You need about 6GB of free space for a 10 hour audio book. When the book is finished playing, stop recording and save the file. At this point, you can divide the large audio book into several smaller files and convert the audio book to a format compatible with your player. I generally set up these recordings while I'm planning to be out of the house for several hours so I'm not tempted to use my computer and inadvertently interrupt the process.
Neither solution is perfect, but both will get you what you want, which is compatibility between two things you paid good money to use. The downside to both of these methods is the Audible file format is great at compressing a ton of audio into a tiny space. It's also great at creating chapter points within a single file. Converting the audio books from Audible's format increases file size and requires hacks to make chapter points within the files because none of the device manufacturers (except Apple's support of M4B) support file types like ASF that allow for the creation of chapters within a file.