Problem MY PSP TOO SHOWS GAMES ON THE MS WHEN CONNECTED TO PC BUT DISPLAYS THAT THERE ARE NO GAME FILES?

Do you mean "How to Download Games in you PC and Play it in your PSP"?
Before you could do that, you should have your PSP installed with a Custom Firmware. S0ny hates it but its the only way you can play games that are saved in your memory card and not to keep on buying new UMD's. That's what you want right? Now, find a fellow who can configure your PSP with a CFW. Be cautious though, because installing a CFW to versions with secured board may end up your PSP useless. So that's why I said "find a fellow" if you don't really feel confident doing it by yourself.
Now, supposing you already have a CFW installed, all you need to do is to download CSO or ISO files from the internet (google the name of the Game you want to download) and download it. Hints: for a better download, use a torrent software to download these files because torrent downloader supports resume feature which enables you to download anytime you wanna do it.
After downloading your game, connect your PSP to your PC. Copy the CSO or ISO file from your PC to this directory;
E:/ISO
where E is your PSP drive letter. Depending on your MS capacity, you can have as many games as possible.
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Hello

To download games to your PSP You will download your PSP games from the internet into your PC and then transfer your PSP game files to your PSP using a USB cable. After your computer is connected to your PSP, your PC will recognize your PSP as a detachable memory drive (similar to an external hard drive). It will assign your PSP with a drive letter (usually F: ) which will allow you to drag and drop you PSP games file from your computer's hard drive to your PSP memory stick. Below are some of the steps to download PSP games.

Step 1: You must copy your PSP games file to the correct path or the games simply would not work. The correct path is PSP>GAME (all the folder names are in caps)

Step 2: After the PSP games are fully transferred to your memory stick, disconnect the PSP from your PC. In your PSP main menu, scroll to GAME and then select Memory Stick option. Press X, and list of available games in your memory stick will be displayed. If you find any error on your PSP, you might want to check your firmware version.

Good luck

You'll need a USB Type-B cord, or a MS Duo Adaptor to transfer files from PC > PSP... PSP PC.

If you're using a USB cord, connect both ends to PC & PSP, go to Settings > USB Connection.
If you're using a MS Duo Adaptor, insert your MS into the Adaptor, then insert the Adaptor with the MS inside it into a PC.

There should be a folder in the root of ya MS called ISO ... in capital letters.

Drag & drop games into the folder! SIMPLE!

In simple terms its this; you will download your games from the internet into you PC and then transfer your game files to your PSP via a USB cable. When your computer is connected to your PSP, your PC will recognize your PSP as a detachable memory (similar to a USB drive). It will assign a drive (usually f: ) and you will be able to drag and drop you PSP games file to your memory stick. These are some of the step to download PSP games.

Step 1

You must copy your PSP games file to the correct path or the games simply would not work. The correct path is PSP>GAME (all the folder names are in caps)

Step 2

After the PSP games are fully transferred to your memory stick, disconnect the PSP from your PC. In your PSP main menu, scroll to GAME and then select Memory Stick option. Press X, and list of available games in your memory stick will be displayed. If you find any error on your PSP, you might want to check your firmware version.
This is a simple guide on how to download PSP games from your computer and it is a proven techniques and been done countless of times. Most important of all it allows you to enjoy wide variety of games from other gaming console.

Connect your PSP to a PC via a USB, or with your MS, a MS Duo Adptor.
In the root of your MS, should have a folder called ISO ... if not, create one. Then Drag & drop games in.

in psp get virus plz format ur psp than recover u psp than solve r problam thank u

it is due to viruses,torjans or any malicious codes

Custom firmware (needed to run pirated/ISO/CSO games) can't be run for the PSP 3000 series. You may download demo games from the Play Station Network and they are all playable. You can play MP3s and WMA files (needs activation) on them though. Put your music files on your MS inside the MUSIC folder (create the folder if there is none present).

maybe its loosing its format.. you could try formating the card throug the pc or the psp.. but i am not sure if the psp has that option

did you formatted your MS when they are files inside your MS?