They are both the same thing as far as the PSP is concerned. When the game finishes downloading from the PlayStation Network, it is there on memory stick and ready to be played whenever. There is no formal 'install' procedure like for a PC game.
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psp go plays the same games as psp, just downloaded instead of purchased at stores.
type in psp demos on google or playstation store
No, all the GO's games are downloaded from the PlayStation Network.
Only if you have downloaded it on your Memory Card.
You may need the latest firmware, upgrade first and try accessing the games after.