.CSO is a compressed file format, generally used on PlayStation Portable games.
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CSO is a compressed version of an ISO. It is good because it will take up less memory on your memory card but the game will be less stable than an ISO. It all depends on how much memory you have to spare. Also don't think think that CSO's are completely unstable, they may just have some rare issues.
*.cso and *.iso are the formats of the psp games