My psp 3.1 reads the PCX's just fine. When you converted them to PCX, were the SHP's blank when viewed in the mixer? If so, do you have either TS or RA2 installed on the computer you use?
For converting PCX into a SHP animation, make sure the PCX's are named this way:
[filename] ####.pcx
If you don't understand, try converting an SHP animation to PCX and see how the mixer names it.
After the naming is right, put all the frames in the same directory, and in the XCC Mixer, with desired pallete set, right click only on the first frame and select Convert to SHP (TS) (use TS shp even in RA2).
meselfs himself!