That's basically all you need to do to download games onto your PSP. Once the files are transferred over to the PSP you should be able to launch them by opening up the GAME menu and choosing the games from what's there. At this point you occasionally get errors, and in most cases they are caused by incompatible firmware. This is a common problem if you have downloaded homebrew stuff, but you can usually fix it by downgrading the firmware on your PSP to one of the early ones.