Instructions
Turn on your Sony PSP. Open the PlayStation Store by selecting its icon from within the "PlayStation Network" menu option.
Select "Games" and then "PSOne Classics." The games listed on screen are old PSX games that have been redesigned to be played on the PSP and PlayStation 3 game consoles. Multi-disc games available for purchase in the PlayStation Store include games like "Final Fantasy VII," "Final Fantasy VIII" and "Metal Gear Solid," among others. The prices of these games vary, but will be listed in the game's product page.
Select "Add to Cart" to begin the steps of purchasing a game. Select the "View Cart" option in the upper-right corner of your PSP menu.
Select "Proceed to Checkout" and "Confirm Purchase." If your PlayStation Store "wallet" has enough funds to cover the cost of the game, your account will be charged and the game will automatically download. If the wallet does not have enough funds, you will either be asked to add funds to your wallet or pay using a credit or debit card. Once you do any of these things, the game will download.
Return to the PSP main menu and select "Game." The icon for your multi-disc PSX game will appear under this menu. Highlight it and select "X" to install the game to your PSP. You will now be able to play the game whenever you want by selecting its name from the "Game" menu.