I will, but first i need to install Linux on my computer first
You don't need to. You don't even need an IDE.
The easier way to develop on windows is to install the minpspw (google it) and then notepad++ or related.
Personally, I program on notepad++ then I compile it using gcc (including in minpspw).
To do that, I do a "make".
Read this for getting started: http://forums.qj.net/guides-psp-development/13776-psp-programming-tutorials.html
About the TODO:
Multiplayer Support Ad-Hoc or maybe 2 players on 1 PSP
Although lua for psp does support adhoc, it'll be really a pain to do this with lua since it's slow and only have a few functions, whereas C will be convenient and fast/
Good luck !