Things You'll Need
Instructions
Connect the PlayStation Portable to the PlayStation 2 system via a compatible USB cable. USB cables that are made to function with PlayStations can be bought at electronics stores, and at least one is included with purchase of the PSP. A USB chord is wire with tabbed rectangular plugs at either end.
Begin playing any given PS2 game. When possible in that game, select the option to save.
Select the PSP data utility when prompted on the save screen what storage device to save the game data to. This data would otherwise be saved to a memory card, but with the PSP connected, it too will be available to be selected as a memory device.