Things You'll Need
Instructions
Turn on your computer and locate the .EXE file that needs to be converted/uncompressed. The .EXE file will be located in the directory where you downloaded it to.
Double-click the .EXE file and wait as it is uncompressed to the same directory that it has been saved to.
Connect your PSP to your computer and select "USB Connection" to place the PSP into USB mode.
Right-click the game file that was extracted from the .EXE and click "Copy." Open the PSP folder on the PSP memory stick. Right-click the "GAME" folder that you find inside. Click "Paste" and the game will be transferred to the PSP.
Press the "O" button on the PSP to disconnect it safely from the computer. Select the game from the PSP menu to play.