Things You'll Need
Instructions
Open the Memory Stick Duo port on the side of the PSP console and insert a Memory Stick Duo with enough free space to store a PlayStation game on it.
Flip the WLAN switch on the top of the PSP console to the "On" position and power on the console. Press the "Home" button to return to the console home menu. Navigate to the PlayStation Network section of the main menu and scroll up to "Account Management." Press the "X" button.
Scroll to select the network connection for your Wi-Fi hot spot or wireless network, and press the "X" button to connect to it. If you haven't connected using this network or the PSP before, select "[new connection]" and follow the on-screen prompts to select the network, input any passwords and test the network connection.
Visit "Account Information" and input your PlayStation Network account credentials. If you don't currently have a PlayStation Network account, create one at the link in the Resources section of this article.
Back out and scroll down to "PlayStation Store," and navigate the store, looking through the "PSone Classics" section for the PlayStation Classic you want to download.
Purchase and download the game, following the console's on-screen prompts to pay for and download the game. Wait for the game to download and save itself to the Memory Stick Duo card. The saving and installing processes will take a few minutes.
Exit the PlaystationStore and navigate to the "Games" section, and select the game you just purchased. Press "X" to start playing.
Begin playing the game. Throughout some games, there are a number of points at which you can save your progress in the story. Save the game as though you were playing it on a PlayStation console to a regular PlayStation Memory card. Follow the on-screen prompts to choose a save slot and save your progress.