Things You'll Need
Instructions
Download and install a software application that enables you to manage DOS on the PSP, like DOSBox (see Resources). Attach the PSP to the computer via the USB cable. Save the DOS software application to the PSP by clicking on its icon and dragging it to the PSP "Games" folder.
Locate the Windows game you wish to transfer to the PSP. Click its icon and save it to the PSP "Games" folder.
Disconnect the PSP from the computer. Turn the PSP on. Select "Games," "Memory Stick" from the main menu by scrolling down and choose the Windows game you downloaded.
Press the circle button on the PSP controller and enter "CD/Games." Press the circle button again on the PSP controller and enter the name of the game you downloaded in its executable file format. The end of the game name should have ".exe." You can now play the Windows game on the PSP.