Instructions
Navigate to the "Game" menu.
Highlight the game that you just downloaded. Any software that needs to be installed will have a bubble around the icon. For example, if you just downloaded the "Beat Sketcher Demo," the "Beat Sketcher Demo" icon in the "Game" menu will have a bubble around it indicating that it needs to be installed.
Press "X" to install the game. The game will automatically install to your PS3 hard drive.