I'm not entirely sure what it is exactly, but basically it's a Burlesque show. What's interesting is that the video is in .mp4 format, 320 x 240, which is compatible with PSP's video playback.
It's easy to download the videos, they seem to be about 40 MB on average, around 5 minutes long.
Be warned: while there's usually no outright nudity in burlesque shows, there is a lot of "tease"... this content is NOT FOR MINORS. ADULTS ONLY. (or mature-minded people)
Now I'm going to be doing some more investigating...