The answer depends on the game. There are many freeware and shareware games that are perfectly legal to download and play.
Games that are sold in stores are usually not freeware or shareware.
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In my own opinion I do not believe that downloading free games are safe. You should be very skeptical about downloading things from an unknown source because they are most likely teeming with unknown viruses that can harm your computer.
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There are many websites that advertise downloads of PSP games for free. They include pspshare and pspmaniaonline. Care must be taken whenever downloading free software as malware or viruses could be included with your free game.
Computers may obtain viruses in a number of different ways, including downloading music or movies, downloading pornagraphic material, or even opening an untrustworthy email. If the game software has a virus, then it is absolutely possible for the computer to become infected by downloading a game.