Download the Latest Firmware
If you have a first-, second- or third-generation PSP, you will need to download the latest PSP firmware in order to have direct access to the PlayStation Network from your PSP. To download the latest firmware, go to the left side of the XMB to the "Settings" icon and then scroll down until you see the "Network Update" icon. Then select it with the "X" button. You will need to be in a Wi-Fi hotspot, as the PSP will need to access the Internet to access and download updates. Once the PSP locates the updates, click through the Download and Installation screens and then restart your PSP.
Enter the PlayStation Store and Browse for Content
Once you have downloaded the updated firmware, you will be able to enter the PlayStation network by scrolling to the right of your XMB and selecting the PlayStation Store icon under the PlayStation Network tab. Select it with the "X" button to enter the store. You will now be able to browse for movies, TV shows, game demos and full games that are available for the PSP system.
Add Points to Your Account and Download
Once you find content that you want to download, select it with the "X" button and then scroll to the bottom of the game information page and select "Buy now." You will now need to add sufficient points to your PlayStation Network account to complete the transaction. You may add points to your account using a credit card or Sony PlayStation Points card (available at electronics and game retailers). Once you have added points, click on the "Download" button to download the piece of media. Once it has been downloaded, it will be available for playback under the "games" or "video" tab on the XMB, depending on what you purchased.