Official PSP Games Download
The easiest place to get any and all official PSP games downloads is the PlayStation Network, via the PlayStation Store. Some game stores also have download hotspots if you take you PSP in with you. Look for a sign or ask a clerk.
How to Get an Official PSP Games Download: Log in to the PlayStation Store via your PSP if you have recent firmware (you'll find the link in the Network menu) and a wireless internet connection. If you don't have a wireless connection, or you don't want to download to your PSP directly, you can also log in via a PS3. If you haven't got a PS3 or a wireless connection, you can install Sony's Media Go software on your PC to get your PSP games download that way. You will have to have your PSP connected to your computer and a memory stick big enough to hold your download.
If your local game shop has a download hotspot, take your PSP in with you, loaded with a memory stick with plenty of free space. Follow the posted instructions or ask a clerk for details on how to connect.
What You Can Get: Official PSP games downloads range from full games previously published on UMD ("UMD Legacy") or PSOne ("PSOne Classic"), through full games published only as downloads (so far a minority, but expect to see more in future), to game demos.
Homebrew PSP Games Download
Homebrew games are games made by individuals or small teams working at home. This category can also include homebrew emulators designed to play games from other systems like Sega Gamegear or Nintendo Game Boy.
How to Get a Homebrew PSP Games Download: Homebrew PSP games downloads are a little more complicated. You'll need to be running a PSP with custom firmware or a fully homebrew-compatible PSP (one with firmware version 1.50) depending on the particular game. Most homebrew games come with a readme file that gives you more information on how to install them. Remember to download from a trusted source (PSP Updates and PSP News seem to be good ones), and keep in mind that using any homebrew voids your PSP's warranty.
What You Can Get: Home brew games are often very short or very simplified. That said, you can get games from just about any genre, often in homage to old classic games like Legend of Zelda. Emulators exist to run games from just about any classic console or handheld on your PSP.
Pirated PSP Games Download
PSP games are pirated by ripping the UMD disc, then releasing the game online for others to download. Some gamers argue that it should be legal to rip discs that you own, because playing them off a memory stick reduces lag and load times. They argue it's much the same a ripping a dvd you own so you can watch it on your laptop while traveling. Game publishers don't tend to agree.
How to Get a Pirated PSP Games Download: Sorry, I'm not actually going to tell you this. To play pirated games you need to find the game's ISO, and use homebrew to run it. Pirating is illegal, and it hurts the game industry (and running the homebrew you need to play pirated games will void your warranty). Obviously I can't stop you if you're determined to go ahead, but please think about the ethics of what you're doing.
What You Can Get: Pretty much any game published on a UMD.
