The only way to get games for the PSPgo is to download them — most commonly through the PlayStation Store. Some freeware games are available, but you can browse hundreds of downloadable games and other media content at the PlayStation Store. In order to download PSPgo games, you need to have a registered account on the PlayStation Network and be in a wireless hotspot.
Start up your new PSPgo and locate the PlayStation Network icon.
The PlayStation network icon is on the XMB.
If you don’t have a PlayStation Network account, select Sign Up for PlayStation Network under the initial PlayStation Network icon on the XMB.
If you already have a registered account, skip to the next step.
Select the PlayStation Store from the list and log into your registered account.
The PlayStation Store home page appears.
From the PlayStation Store home page you can browse through the available games, movies, and more.
You can even select free demos of most games to try them out before you have to buy them.
Select Downloadable Games on the right navigation bar.
Browse through the many games available until you find the one you want to buy.
Select the game you want to buy.
A full description of the game appears.
Select Buy Now.
Your shopping cart will appear with your chosen game in it.
If you’re not done shopping, you can also choose Add to Cart and continue browsing through the available content. When you’re finished, click the Cart icon on the top right.
Select Proceed to Checkout.
The Purchase Confirmation page will appear. Notice that the amount of money available in your wallet is listed near the top of the screen.
If necessary, click Add Funds to add money to wallet so that you can make the purchase.
If you already have enough money in your wallet or have a credit card on file, skip to Step 11.
When prompted, enter your credit card information.
Your credit card information will be stored for future purchases from the PlayStation Store until you remove it.
Click Continue to go back to the Shopping Cart and click Confirm Purchase.
Your download will begin immediately. Time to sit back and wait. It can take 20-30 minutes to download a single title.