ok first, i cant understad what ur sayin about ur brother and u cant play 360 at the same time, of course u can. first for the price the psp wins because its smaller and less advanced.
Xbox360:
pros: awsome graphics, online play is supurb, games are good
cons:costs 400 for better one, not so quite fan, pay for xbox live
psp:
pros:portable, free online play, cheaper, mp3 and video player.
cons:horrible graphics, mediocre games, battery life
wat i recomend is the 360, just because it has more to it, but it depends on ur opinion.