a) Download a precompiled dev environment to a USB-stick if your internet-cafe allows it.
b) Ask some friend to download it for you and burn it on CD or put it on a USB-stick.
http://sourceforge.net/projects/minpspw/files/The pspsdk-setup-x.y.z.exe is required, the devpaks are optional, but recommended to have a broad base of libraries to work with.
Most useful for first graphical games is libpspsvram, libpng, jpeg and zlib as well as freetype if you want to use opentype/truetype fonts.
For sound output, libmikmod is for wav playback and libmad a solution for mp3 playback (though not the best, as the psp has it's own set of functions to playback mp3s).
In any case, be sure that you'll have a hard time learning psp development without internet, because basically all information that is available is on the internet in forums, tutorials and source codes of other projects.
I wish you good luck anyway, if you have questions you can come back here anytime.