In a removable folder in my computer. If connecting to the computer VIA USB and PSP. Make sure USB mode is turned on {settings, scroll up or down to usb connect}.
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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
To get into the PSP common folder, you need to download software that allows you to access the folder.
You put games in the ISO 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.
you can put portals of psp on it