I know many people out there are doing what I've been doing:Opening their code files in text editors(or worse,Visual Studio itself),memorizing function names and arguments,compiling with cygwin\cmd,manually copying their EBOOT.PBP across,and finally managing to run their app.Well,that's THE hardest way to do it,specially if you have Visual Studio on your Windows PC.
What I'm about to show you is the path to true enlightenment

.When using this method,you won't need to memorize all function names,as you'll see them as you type them.You also don't have to mess with all sorts of STUPID programs.You'll have everything you need inside the Solution Explorer when you open your project in Visual Studio.
I don't claim to be the first to know this method,but I'm not the last,so don't go complaining if you already knew it.Anyway,here's what you need:
1.Visual Studio 2005/2008.It may work with 2003,but I don't know if it will.
2.MINPSP.Download it from
http://minpspw.sourceforge.net/ if you don't have it yet.
Here's what you must do to create a PSP project(We'll assume the project's name is |\/|y PSP @pp):
1.When installing MINPSP,choose to install support for VS.
2.Open VS.
3.From the New Project screen,choose [Other Languages>]Visual C++>General>Makefile Project.
4.Choose a name for your app.Choose a path if you like.Keep the name simple,as in "MyPSPApp".
5.Select Next from the Makefile Project Wizard welcome screen.
6.On the next screen,enter the following values withOUT the single quotation marks:
Build command line:'vsmake && copy EBOOT.PBP "X(PSP Drive Letter):\PSP\GAME\My PSP App(Or the name of you app.Don't use illegal chars.)\" '
Clean commands:'vsmake clean'
Rebuild command line:'vsmake clean && vsmake && copy EBOOT.PBP "X:\PSP\GAME\My PSP App(Or the name of you app.)\" ' (Do NOT use "My\ PSP\ App".Windows is NOT linux,and it's Windows we're typing these commands for.)
Output (for debugging):'EBOOT.PBP'
Include search path:'(MINPSP installation path(eg.C:\pspsdk))\psp\sdk\include'
7.Choose Next.
8.Mark "Same as debug configuration".
9.Click Finish.
10.Now you have an (almost) empty project.Navigate to your project's folder,and open the second folder with your project's name,where the debug/release folders are usually created.There should also be a readme.txt file in the folder.
11.Create a file named "makefile".You can't create this using VS,since any templates will have an extension.
12.Use "(Right click project in Solution Explorer)>Add>Existing item..." and choose your makefile.You now have the makefile in Solution Explorer.Open it to add the usual content,but be careful not to confuse TARGET with PSP_EBOOT_TITLE.Give TARGET a simple name like MyPSPApp,which will be used for file names when compiling you app,but give PSP_EBOOT_TITLE the name of your app(|\/|y PSP @pp in this case).Remember,you still need to specify the files you want to build in the makefile.You won't need to add your files to the VS project if you don't need to edit them,add them to the makefile instead.
13.To add new code files,either create them manually and add them via "Add>Existing item...",or use "Add>New item...".There is no c template,but you can select the cpp template and name your files MyFileName.c to get c files.Code them as usual.
14.When you're coding,you can press Ctrl+Space to open the intelliSense menu which will list all your functions/variables/constants AND all the functions/constants found within the SDK header files you included.If you use this menu,you won't need to type capital letters,sinse VS will fix capitalization for you.You'll also see the arguments for each function you use.
15.When you're done with the code,choose Build>Build MyPSPApp or press Ctrl+Shift+B to build your app and send it to the PSP.If your PSP is not connected,you'll get an error telling you cmd.exe failed.If there were any errors/warnings during compilation,you'll see them in the Error List(Ctrl+E) under their separate topics.
16.Have fun with your newly compiled app!
I hope you have enjoyed discovering this method as much as I did just a few minutes ago.

Thanx for the link,mowglisanu.