Things You'll Need
Instructions
Set up a PlayStation Network account. This can be done through PlayStation.com (see Resources for a link to the sign-up page). Fill out each form completely, including credit card information if you wish to purchase games. If you only wish to download free demos, it is not required.
Download and install "Media Go" (the link is provided in the Resources section).
Open up "Media Go." Continue to the PlayStation Store; sign in with your PlayStation Network account before locating the game you wish to download.
Download your selected games. Purchasable games will be paid for from the credit card you have associated with your PlayStation Network account.
Connect your PSP to your computer via the PSP USB cable. Your PSP will enter USB mode and will be presented in "Media Go" as "[PSP Name]: Memory Stick."
Transfer your downloaded games to the PSP via the "Media Go" library by opening the "Games" folder and then right-clicking on the file and selecting "Transfer -> [PSP name]: Memory Stick." They will automatically install upon transfer.
Play your downloaded games by opening up the Memory Card menu under Games on the crossbar. Select the game you wish to play using the directional pad and press "Confirm" to start the game.