Instructions
Turn off the PSP and insert the Memory Stick Duo into the PSP's memory card slot.
Power on the PSP and scroll to the right to select "PlayStation Store" under the "PlayStation Network" menu.
Select "Games" from the store's menu.
Select the game you're purchasing by pressing "X" over it.
Select "Buy Now," then "Proceed to Checkout."
Confirm the purchase, then select "Memory Stick" as the proper save location for the game. The game will download from the Internet to your Memory Stick Duo.