You put games in the ISO folder.
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in to psp folder then put it in games
you can put portals of psp on it
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
first open your psp folder then you should see a theme folder drag the theme in to there if not create a new folder in capitals called THEMES in the psp folder.
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.