There are 2 different ways you can go about doing this. 1) buying games from psn -- with this all you have to do is set up your psp so that its able to connect to the psn. and when u buy a game you can download it to your memory stick.
2) involves installing a custom firm ware on your psp which will void warranty. you can serch the web/youtube for this. this guy on youtube helped me alot to cfw my psp.
jaki54321
just know that last i checked its best to cfw the 1000 (the fat original) and the 2000 (the original slim psp)series. with the cfw on newer models 3000 series (the new slim with improved display) and the go its not recommended for the cfw is not too stable. you can check the bottom side below the start button to see what model u have.. it'll probably be like psp2001 etc etc....
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