Instructions
Ensure that your PSP̵7;s firmware is updated to at least version 5.0, but preferably the most recent version. As of June 2010, the most recent version is firmware 6.20.
Connect to a wireless hotspot. If you have a wireless network at home, you can connect to that. If not, you can access free wireless hotspots at coffee shops or bookstores such as Starbucks and Barnes and Noble.
Select the ̶0;PlayStation Store̶1; icon from the PlayStation Network tab on your PSP. If you are not already signed in to your PlayStation Network account, sign in. If you do not have a PlayStation Network account, create one.
Browse games in the PlayStation Store. You can download game demos, PS One games, PSP Minis and full PSP games.
Download the game that you wish to play. Demos are free, but other games have a purchase price that you can pay through your PlayStation Network account.
Select the game from the ̶0;Memory Stick̶1; folder under the ̶0;Games̶1; tab on your PSP once it has finished downloading to play it.