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You can play RuneScape on any Web browser that supports Java. If you have such a browser on the PSP, you can use it and access the RuneScape website.
The Runescape client does not need to be downloaded. However if you download it, you can play at the same quality as if you are on a web browser while running Runescape at a lower processing rate than if you are using a web browser such as Firefox or Internet Explorer.
That can have several reasons. You might not have a good Internet connection, RuneScape might be blocked by a firewall (for example, if you try to play from school), or you might have some problem with your browser. Some things you can try is using a different browser, and clearing private data in your browser.
Make sure you have the latest Java downloaded, if that's not the case try playing runescape on a different internet browser, like Mozilla.
The best monster to kill in Runescape would be the King Black Dragon.