We just bought a psp go. We tried to create an account so we can purchase games online but our country of residence does not appear in the selection. Is there any other way you can purchase games online?

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This problem is usually associated with your PSN Account that is registered with the game you purchased. Try the following:
1) On your PSP Go, go to the "PlayStation Network" Icon and set up your PSN Account name so that it is the same as your PSN Account on your PC. (I'm under the assumption that you accessed the PSN Store via your PC and bought the game instead of using pirated software.)
This should allow your game to be playable since it's under the same PSN account name.
If this fails to work, there are ways around it.
2) On your PSP Go, if your PSN Account isn't identical to the one on your PC you can remove that account from your PSP Go. If your PSP Go doesn't have an account, the game can be playable since PSN has no way of knowing if the game is yours or not.
To do this however, will most likely require a format of your PSP Go so make sure to back up your data.
To format simply go to "Settings" then scroll down towards "System Settings" click on it, and then scroll down and click on "Format Memory Stick".
(NOTE: This will erase all of your data so make sure to back up all your Photos, Music, Videos, or any save content on your PC or USB Drive. As for game purchases, those should be registered on your PSN Account so you don't have to worry about those.)
Thank you.

Assuming that you are using a PSP Go, then this error is caused by the fact that your device is not authorized to play your games anymore. This sometimes happens after a firmware update. In order to fix the problem, you must either attempt to sign in with the PSN account that you created when you purchased the device, or you must connect the PSP to the computer and use Sony's online PSP management page to reactivate the PSP. Go to: https://store.playstation.com/accounts/manage/cam_psp_activation_select.vm and then follow the on screen steps.

http://boardsus.playstation.com/t5/PlayStation-3-General/My-ps3-won-t-allow-me-to-sign-in-another-account-HELP/m-p/43820724
Perhaps that link above will help?To begin, go to the “Playstation Network” menu and choose Sign up for Playstation Network Now the account creation begins. Since this is our first time signing up, choose Create a new account This screen explains what information you will need to provide during the process. Choose Continue Select your country, language and date of birth Date of birth determines what account type will be created. If you are 18+, you will get a Master Account. Otherwise you will get a Sub-account. Learn more about accounts. See also: countries supported by PSN) The terms of service and user agreement / privacy policy will now be shown. Choose Accept Enter sign-in information: a valid email address (sign-in ID), password, and security question. Sign-in ID help screen Password help screen Enter your desired Online ID The online ID will be your publicly viewable username. It is not possible to change your online ID once your account is created. If you continually get the message “The online ID you entered cannot be used” then it may already be in use. Also, there are keywords that are not allowed – for example having “PS3′ anywhere in the online ID. For more help, see common problems. Enter your full name. Choose your gender if you wish (optional) Enter your street address (residential address). Country/region is pre-filled by your selection earlier Notification preferences. Tick any of the boxes if you’d like to receive marketing from Sony and/or affiliates Review the details you’ve entered, then select Confirm Account has been created! You may be asked to answer a questionare/survey. Choose Yes or No Choose an avatar (picture) for your account if you wish. It is easy to change it later at any time. Welcome to Playstation Network. You can Proceed to Playstation Store if you want. This will prompt you to Sign In. Exit the Store to return to the XMB menu. Now that you have signed up, the Friends menu will have new options like Message Box. You will also be shown here!

Getting "online" can mean many things, so I'm going to try and answer them all.
Getting on to a Wi-Fi network. To get onto a Wi-Fi network, just scroll all the way left to [Settings] in the home screen (XMB), then to the bottom to [Network Settings]. Then choose Infrastructure Mode, then [New Connection]. If you know the ID of your network, go Manual, but most will want [Scan]. Choose the desired Network out of the list to continue. It may need a security key, which you can enter at a later screen. When you get to the end of the wizard, you press Circle to save the connection, then you can Test it on the next screen. You are connected, and can use that Wi-Fi network for any Internet Functions on the PSP.
Joining PSN: To join PlayStation Network on the PSP, scroll all the way to the right of the XMB, to the PSN icon, then choose PlayStation Store, it should prompt you for an account, then follow the prompts to create one. You can also head over to playstation.com and somewhere at the top of the Page there should be a Sign In/Sign Up option for PSN. Again, follow the prompts, then enter your newly created login details into your PSP when it asks.
For Online Gaming: This procedure is very different for different parts of the world. I'm an Australian, so I'll use the Australian method, which is the same for Europe. North America uses a very different method, so you should check your local PlayStation.com. Australia/Europe: Unless you are using a very new Game, most games online functions will ask for a "Handle" and "Password". To get one of these, look in the packaging for your PSP for a small code (two parts of 7 digits). Once you have that head over to yourgamingname.com, choose your country, and enter your code on the right where it asks. Then it will give you a Handle and a Password, you can enter into your PSP Game's Multiplayer section to get online.

To create your iTunes Store account:

1. From inside the App Store or iTunes Store tap Sign In at the bottom of the page.
2. When the prompt appears, tap Create New Account.
3. Choose the appropriate store by tapping on Store, and select the country in which you reside. Tap Done to confirm your selection, then tap Next to proceed to the next screen.
4. The next screen will display the iTunes Store Terms and Conditions. You can opt to have the Terms and Conditions emailed to you for easier reading by tapping Send by Email. Enter your valid email address then tap Send.
5. After you've read through the Terms and Conditions tap Agree, located in the bottom right of the page. Then again when the confirmation appears.
   
6. Once you've agreed to the terms and conditions, you'll need to input your preferred email address and password along with answers to some security questions. The email address you provide will be your new Apple ID as well as your iTunes Store account username. Tap Next.
7. 
   Tip: If you are trying to create an account using your MobileMe email address, you will receive a prompt telling you that your email address is already an Apple ID. Simply tap Continue, then tap Use Existing Account on the following screen.
   
8. Next, you'll be required to enter your billing information. To change the default card type, tap the Credit Card field. Select your card type and tap Done. You will not be charged until you make a purchase.
   
9. Once you've filled out all the fields for your billing information, tap Next to complete your account creation. You'll receive a notification that your account has been successfully created.
10. Tap Done to go to the App Store or iTunes Store to begin browsing the store.

And there you Go.....

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i think its about to creat a new account in the game on line, there should be an option like (creat a new account online)
or a new handle, its depend on the game options.
Regards.

Lick your psp

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