This movie shows you how to add chapters to most movies by using Quicktime, but my suggestion is that you first convert it to a .mp4 file using something like
PSPVC.
(watch the movie
here.)
The only problems are that you need the full version of Quicktime, and if you convert it/save it as anything other than a .mov file, you lose the chapters.
P.S: can a PSP play .mov files?