Since PSP is a very popular gaming console, be sure you know exactly how to correctly download a game from the internet directly to your Sony Memory Stick.
First, make sure you have the correct firmware on the PSP. Should be 1.5. This version also allows you to download music, videos TV shows, etc.
Get a Sony Memory Stick. The larger the better as you can store more games on a single card. 256MB would be the minimum we recommend.
Make the connection. Use a USB cable and connect the PSP to your computer, turn on the PC then the PSP.
The PC then recognizes the PSP and assigns a drive letter to the Memory Stick (usually f but depends on other hardware you have)
Now you can drag-n-drop the game directly to your Memory Stick.
Once you navigate to the Memory Stick look for the folder PSP (in caps) then a sub-folder GAMES (in caps) then save your game in that folder.
In the PSP main menu, scroll to GAME and then select Memory Stick option. Press the X button obtain the list of games, videos, music, etc. If you experience any errors on your PSP, you might want to check the firmware version (1.5 or better).