Instructions
Select the "System Update" option on the PSP's main menu. The option is on the far left of the main menu at the top.
Select "Update Via Internet" from the next page that you see. Select the connection that you want to use to download and install the update file from.
Press the "X" button on the Sony PSP gamepad to begin the download process. When the download completes, press the "X" button again to install the update.
Reinsert the game into the PSP's optical disc drive after the PSP reboots itself. Select the game from the PSP game menu to play.