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First, you need to have a Custom Firmware (CFW) in order to play games using your Memory Stick. If you got your PSP with the Sony's Official Firmware, you cannot play games from your card.
If you got CFW already, all you need to do is place the .CSO or .ISO files to your ISO directory. You can do this by copying the .CSO or .ISO from from your computer to E:\ISO (where E is the drive representing your PSP).
After that, remove your PSP from PC and go to Game/Memory Stick and start playing.
the PSP has to be hacked in order for you to play downloaded games. If you get a magic memory stick and a pandora battery it can be done easily even with the 5.50 firmware version. Google pandora battery, and magic memory stic or (psp mmj tutorial) and you get lots of good info.
May be you have placed the game wrong.. ISO and CSO should go in the x:\ISO folder in the root directory. In
the same level where x:\PSP folder is at. If you dont have an ISO
folder just make one. Also take note that unless your PSP has a custom
firmware installed you can't play pirated games.
Video files should be located in the x:\VIDEO folder.
Mp3 are placed in the x:\MUSIC folder
images are placed in the x:\PICTURE folder.
You cannot play .iso or .cso files (or any homebrew games) on your PSP unless you have firmware 1.5 or a custom firmware. Any "off-the-shelf" firmware such as 4.2 will not support these types of files. They will just show up as "Corrupted Data".
You can go through the process of downgrading your firmware from 4.2 to 1.5, then from 1.5 you may upgrade to a custom firmware such as 5.00 m33-4. Doing so would require a good deal of technical know-how and a LOT of patience. If you do not want to risk ruining your PSP, do NOT try this. Research methods of downgrading such as "Pandora's Battery" and other firmware downgraders.
You were able to download games from the PSP website because they are programmed to play on the current firmware. Even if you were to (somehow) properly convert the .iso or .cso files to an EBOOT.PBP file, it would not run unless you have firmware 1.5 or custom.
your ISO Games....
Presumably these are 'backup' of yours or others games ??
Do you have 'any' level of homebrew installed to be able to read your ISOs ??
If this is the case - you will need to revert back to the original firmware. . . if you need more detail, please comment.