Things You'll Need
Instructions
Wi-Fi Method
Turn on your PSP and connect to the Internet. If you have not set up an Internet connection, you will need to do so and be in range of a wireless access point.
Navigate to the "PlayStation Network" tab in the Xross Media Bar and select "PlayStation Store." You will need to sign in with a PlayStation Network ID if you have not done so already.
Find the game you wish to download onto your PSP. You will be able to download game demos, full versions and PSone classic games.
Select the game and download it. The game will be downloaded onto your Memory Stick. You will be able to play it from the "Games" tab in the Xross Media Bar.
PC Method
Download and install Media Go on your PC from the link in the Resources section at the bottom of the page.
Open Media Go and click the "PlayStation Store" icon in the left window pane.
Find the game you wish to download.
Download the game into your Media Go media player.
Connect your PSP to your PC with the USB cable and select "USB Connection" from the "Settings" tab on the PSP to put it into USB mode.
Select the game in the Media Go window after it has download.
Select your PSP from the drop down menu at the bottom of the window and press the "Go" button to transfer the game to your PSP's Memory Stick. The game will be downloaded onto the Memory Stick, and you will be able to play it from the "Games" tab in the Xross Media Bar.