dear question asker u will need a card reader ok or a usb cable
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You can copy games from one PSP memory stick to computer and then copy to another PSP's memory stick. Make sure you put the game on the folder 'GAME' on the memory stick.
put your wallpaper on the memory stick. than take the memory stick out of your and put it in the other psp and go to memory stick under photo and make it your new background. also you can plug it into the computer and transfer it onto the PC then put it on to the other psp by plugging that one into the PC.
That would be the Memory Stick.
You don't, you buy a memory stick and put it into the slot on the left of the psp - near the wifi button.
When you download a game from the PlayStation Network, they are stored on the PSP's memory stick.