PSP Developer Guide is an attempt to gather remaing knowledge about PSP development in one place. PSP hype ended few years ago and now data/tutorials/sites are slowly dissapring from web. I hope that this repo won't die that easily :)
You need to install psp-sdk. I have created a little bit more detailed tutorial here (although it is focused on OS X, I am sure that you can benefit from it on other platforms as well).
I can recommend following book to create first app PSP Programming Book
You can use awesome PPSSPP or of course real device (just copy EBOOT.pbp to /PSP/GAME/YOUR_DIR/).
PSPSDK has code annotation that you can use to generate documenation. Just use doxygen.
If you are too lazy it seems that there is a working copy:pspsdk-doc
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Don't forget to include lstdc++ lib in your make file.
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pspSnake - frame buffer, input, c++