Things You'll Need
Instructions
Plug one end of the Sony PSP USB cable into your Sony PSP's connection hub located on the top of your PSP console.
Plug the other end of the PSP USB cable into your computer's or laptop's USB slot.
Download and install the PlayStation Network Downloader from the official site.
On the PSP XMB (Xross Media Bar, or PSP operating system) go to "Settings" and select "USB Connection."
Use your computer to purchase content from the PlayStation Network Store. When the prompt appears that asks where you would like to download the file, select the PlayStation Network Downloader from the drop down menu. This will download the content directly to your PSP.
Press the Circle button on the PSP after the transfer is complete. This will exit the USB connection. Unplug the USB cable from the PSP.