Things you will need:
1.A computer (duh)
2.A CFW PSP
3.A Mini Usb cable
4.A Memory Stick Pro Duo
5.Winrar
----------------AFTER YOU HAVE OBTAINED THOSE ITEMS-----------------
1.Download the games you want.
2.After you have downloaded a game(s) from the above link, you need to plug your PSP into your computer via the usb cable.
3.Open your PSP folder in the root of your Memory Stick
4.Open the GAME folder inside of the PSP folder
5.Now, go back to the game you downloaded and extract it using Winrar
6.There should be a folder with the name of the game you downloaded and inside that folder should be an EBOOT.PBP file and a KEYS.BIN file too.
(For example: Tekken3/EBOOT.PBP KEYS.BIN)
7.Drag that folder,with the EBOOT.PBP and KEYS.BIN inside of it, into your GAME folder on your PSP.
8.Enjoy