Just want to elaborate on Kyogami replies. 3 ways of getting PSP games online.

1. Connect your PSP to the internet and log onto PSN store. Purchase and download straight to your PSP.

2. Log onto the PSN store on your PS3. Purchase and install on your PS3. then transfer the game to your PSP via USB connection.

3. Log onto the PSN store on your PC. Purchase and install on your PC. then transfer the game to your PSP via USB connection.