You need a cable that has red/white RCA male jacks on one end, and a headphone jack on the other end (they are very common, come with portable cd players) Need two female-female RCA jacks. (best buy, radio shack has them)
Plug the headphone jack into the AV port on the back of the PSone screen. Plug the white male end from your system into the white male end of the cable using the female-female connector. plug the yellow end from your system up to the red end of the cable using a female-female connector.
This will give you video and mono sound. For stereo sound, you need a cable that has yellow,white,red on one end, and a headphone jack on the other end (they can be bought at alot of stores, they come with alot of camcorders) You would need 3 female-female connectors, and just plug up your system by matching the colors.