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I say it so brief and bluntly because it doesn't sound like you even have a clue about technology, no offense intended.
also just going to points out dec C++ is a good free compiler. Just type it in on google. It works pretty well from when ive used it
But as I read some of the topics here I started wandering: "Heey wait maybe these guys can help me in my first steps at PSP-homebrewing" Note to any openminded person: I dont even know if My PSP (slim) has homebrew enabled so in other words get ready for a lot of explaining if you plan to help this one
According to what you said here it sounds to me like you dont know the first thing about homebrew or custom firmware so maybe you should just try to be a little more clear next time. I dont mean this offensively by any means though.
You dont need linux , there are windows based compilers CYGwin for example, with GCC.My best suggestion is to goto your local library and get "C PRogramming for the absolute beginner" by micheal A vine.It walks ya threw installing the apps ive mentioned. And the basics of programming in C, Then use google and search things like C++ tutorials. Once you can program in C and use the resources for it, the things in the psp sdk will make more seance. You will most likely NOT be able to jump right in and use the pspsdk. You will need to know how to program, then learn the pspsdk. As i said b4, This is about like saying you want to learn rocket science in 25 minutes, actually that would be more realistic. This is a multi year project, not something we can give you easy installers for, nor links to end all faqs that will teach you the ins and outs of like your hoping. You might even look up your local college and sign up for programming classes. (thats what im doing) There is a reason colleges teach programming. Its quite difficult to learn. Im half tempted to post the firmware im working on, which doesnt even come close to a homebrew, its about 25,000 lines. You need to understand the basics b4 you try to jump into advanced things like the pspsdk,