Things You'll Need
Instructions
Turn on the PSP and wait for it to boot to the PSP menu. The PSP menu is called the XMB. If you have already downloaded the game to your memory stick with the Playstation Network (PSN) continue to step four. If you have not continue to step two.
Navigate to the "Network Settings" and select "New Connection." Connect the PSP to your home network. Go to the Playstation Network icon all the way to the right on the XMB and select it. PSN will now open. Select "Games" from the main menu and browse the list of games that are available for download.
Select a game to download. Some of the games are free, but most of them cost money. You will be asked to use either your Playstation Points or a credit card. After the payment is approved, your game will download and install.
Navigate to the game section of the PSP XMB and you will see your saved game there. Select the game with the "X" button and your game will begin.