I've been using
PSP Disp lately for this. I can display any of my monitors, or any portion of them on the PSP, which I used to display my own app I made a while back. You can even use PSP Disp to set the PSP as a new monitor, so it isn't sharing with another. The display driver for PSP Disp doesn't work in Vista though, so Vista users will need a hardware emulation like I made (see pic), so that the PC thinks there's another monitor there, and then dedicate that to the PSP.
It's a lovely little app, it can use USB or WLAN (I've only tried USB though), and runs at a solid ~30FPS without affecting LFS framerates. The only problem with putting it on WLAN though, is that it will EAT batteries. I've also been using it for displaying WMP or MSN while gaming, and it can even use the PSP as a mouse
Also attached pics of my my app running on the PSP, unfortunatly my phone doesn't take pics too well at night, and I can't be arsed getting up to find a spotlight