Instructions
Select the "PSN Store" icon on the far left of the Sony PSP's main menu, which is called the XcrossMediaBar (XMB).
Select "Games" from the PSN Store main page. A new page is displayed, filled with downloadable PSP games.
Select one of the games and select "Add to cart" to place it into your PSP Store shopping cart. Select "Checkout" and enter in your payment information (credit/debit). The game will be downloaded to your PSP memory stick.
Select the PSP game in the PSP's game section on its XMB and the game will begin.