the game you download from sites are .cso files, and its made for psp only i believe. and yes you put the game on your psp and its like free games no need to buy, but you can only play download games on a psp that is a Custom Firmware(CFW), on official firmware (OFW), you can only play UMD games (game disc). You can downgrade your psp by a pandora battery, which is known to unbrick or downgrade any psp so far as i know. you can easily do it by opening your battery, or if your friend have a psp that is CFW or 1.5 you can ask them to put the software inside the battery. having psp is pretty good when you can play download games.. Here's my psp which is a slim and i downgraded to this firmware. im getting too lazy to explain it go to this thread http://www.dramasian.com/forum/showthread.php?t=25153&page=4 started by someone but i did most of the explaining and how to do on some stuff...
i guest pspiso.com, then http://pc-2-psp.info, psp underground(but i forget the link, may be u can googleing) that's all i know... and pspiso is back online...