Things You'll Need
Instructions
Download and install the Sony Media Go! software on your home computer. It will ask for you to direct the program to where you all of your media, like video and audio, are stored. It will also ask what kind of device you will be using with the program, which in this case is a PSP.
Connect your PSP to your computer with the USB cable. With the Sony Media Go! program open, click on "PlayStation Store" on the left menu.
Navigate through the store and select the games or demos you would like to install onto your PSP. Before you click the "Download" button, make sure you have room on the memory stick in your PSP so that the download does not fail.
Disconnect the PSP from the computer when the download completes, and navigate to the game in the PSP game menu.