If you got it brand new, you can't play downloaded games because you can't hack the new PSP's.
If it came with a firmware below 4.01, you can hack it with a pandora battery and magic memory stick, sold at http://www.pandorasales.com in a bundle.
go to a torrent site like mininova.org and download the video game you want, get a program to open the torrent (like bittorrent) and burn it to a disc with a specific program, you should to search online for it i'm not sure of the name. this is how my friend gets his ps3 games.