There are hundreds or may be thousands game titles for Sony PSP available to be downloaded from the internet. Is it illegal? It’s up to you. I only want to show you that you can do it. Sony PSP only can play with the extension .cso or .iso. You will find also that there are psp games files compressed in rar format. It’s no problem. Just extract it.
My favorite site for Sony PSP games is www.pspiso.com. I think it’s one of the most complete web site for Sony PSP. Now, open your browser and type the website address.