Instructions
Turn on your Sony PSP and select the PSN Store icon on the far right of the PSP main menu. The store will load.
Wait for the store main menu to load and select "Games." A list of categories will appear. Select "Demos" to load up the list of available game demos.
Browse the list of demos and select one to see more information. Select "Add to cart" and "Checkout" to proceed onto the download page. These games are free, which means you can skip the credit card/PSN Points card part of the checkout. Your game will download and install.
Press the "O" button until you exit the PSN Store. Go into the game section and you will see the game you installed. Select it to play.