When you download a game from the PlayStation Network, they are stored on the PSP's memory stick.
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You put games in the ISO folder.
in to psp folder then put it in games
plug in your psp to your computer, on your psp goto the left most tab and hit usb mode. After that the computer should recognize it as a removable drive. The games go into the games psp/games folder of your memory card. (a game is a folder with an eboot file in it) If you are talking about cso files, those go in an iso folder in the root of your memory card
You will need a memory stick for ALL things you want saved on the PSP.
yes u need to have a memory card to save games,but if u have a psp go u have 16 gigs of memory to save on