Instructions
Connect your PSP to your computer with a USB. Go to "My Computer" and locate the drive folder containing your PSP Memory Stick information.
Go to the File Buzz website (see Resources). Type, "Chess for PSP" in the search bar and press the Enter key.
Find the chess game that you would like to download to play on your PSP. Most of the games need to be purchased and range from $5 to $20. Once you've found the game you want, click on file icon to download and purchase the game. Save the zipped file to your desktop.
Unzip the folder containing the game file. Make sure that the "Games" folder of your PSP Memory Stick is open, and drag that game file over into the Games folder of your PSP.
Disconnect your PSP and turn it on. Go to Games and you should now see that the chess game you downloaded is playable.