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when you downloaded the game it should have been in a zip, rar, etc file. meaning it was compressed. first thing after downloading the game you should have uncompressed the file giving you "game name.iso" or "game name.cso" you do not put these into your savedata folder but instead on your iso folder that is located in root of your psp. i.e. (if your psp is connected to your pc) my computer>removable drive (meaning your psp)>iso. simply put its where your music, video, picture folders are located. just create an iso folder there
before i get way ahead of myself let me ask a question most common mistake is..... do you have a custom firm ware (cfw) installed on your psp or the official firm ware from sony. most people think they can download a game from torrent sites and it'll work. but for it to work you have to have cfw installed. you can check youtube for psp cfw
You cannot use use downloaded PSP software (games or others) without Custom Firmware on your PSP. This basically allows you to use stuff that does not come from SONY. To learn how to put Custom Firmware on your PSP, Google it. Although the process of putting CF on your PSP is legal, using copied games and stuff that you would normally have to pay for is not legal, so BEWARE! Also, the process is not foolproof any you may damage your PSP. The difficulty of the process depends on the model and age of Official Sony Firmware of the PSP.
If you mean on to the memory stick, as far as I no the only way to do that is to install illegal software that would copy game codes, but I highly disagree with things like that.
If you mean how to put games on your PSP as in into the disk drive, depending on the type of PSP (original or slim) there is either a switch or a button that would open the disk drive. You then put the disk in there and close, and the game should then load under the little handset.
More on the memory stick I found this link http://forums.afterdawn.com/thread_view.cfm/524457
I also used this ;)
You are toying with a serious chance of Bricking your PSP. Before you update, plug up the power cord to the PSP. These updates once you get them started, may take longer than you have battery. The Game disc should have the update on it. Plug your power cord up and follow the games directions. Do not try to use the PC.