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I'm assuming you're referring to the PSP.
Official firmware releases do not support backups (as iso, cso, eboot, etc.).
If you are using a custom firmware, downgrade a version or two. It is also possible that the latest few games can't run on custom firmware just yet.
Sorry Ryan, you will need a service or pandora battery to reload custom firmware.
This will let you back up games you already own and run them from the
You can create a pandora battery and the 'magic' memory
stick from any psp already running custom firmware. You can also buy them online, and if you look in the local classified ads website where you live, you can probably find people offering that downgrading service.
I cannot run through the steps here to create your own, but tutorials are all
over the net and sites like youtube.
Make sure your games are saved in the ISO folder. Also, your UMD MODE should be set to M33 Driver or NO UMD REQUIRED. If you have Official firmware, you can't play ISO/CSO games. Wait for the release of CFW 6.00. Check out pspcustomfirmware.com.
Your CSO/ISO files should be in your ISO folder in the root of your memory stick. You might have to make this folder if you don't already have it. Also, your UMD mode have to be set to NO UMD REQUIRED, or M33 Driver. You must have Custom Firmware to play ISO/CSO games.
HELLO! There's no need to downgrade ur PSP. If u have upgraded ur PSP from the official site and a official firmware has been installed on to ur PSP, it won't execute games(ISO,CSO) from ur memory stick. It will only run games from the UMD. If u want to run ur games from a memory stick u have to install a CUSTOM FIRMWARE. Try www.psp-hacks.com these guys have many softwares on their site. Dont worry its not that hard to put a Custom firmware onto ur PSP.
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.