This page proves it: http://www.playstation.jp/tgs2004/psp_spec.html [1]

Since the UMD drive inside the PSP is read-only, we can assume that you won't be able to burn your own UMD discs using the PSP itself. I'm sure Sony hasn't got plans for a UMD burner, so to me, this announcement means you'll be playing MP3s off your Memory Stick Duo. Duo goes up to 1GB for the time being.

One more thing I just noticed is "region" is listed under "access controls." Well shit, this means we won't be playing imported games, I think.