Its broken or you can take it to game stop and they check whats wrong with it
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If you mean a game save [under Game > Saved Data Uility on your XMB] then the games that you play will automatically load those for you. If you mean a saved homebrew game, read the readme.txt they usually come with, it will tell you to move all the data to "psp/game" or maybe "psp/game150" ect..
the game has to be game share compatible. you basically got to gameshare on your psp and then your friend loads the game up n his psp.
play the ps3 games in psp they will converted to psp games
*.cso and *.iso are the formats of the psp games
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.