If you're interested in hacking your PSP, check out this video which shows how to load CFW onto your PSP using ChickHEN to load CFW (custom firmware).
Making this modification will allow you to download and play games for free by using ISO files.
Be sure to switch your PSP to standby instead of shutting it down, as you will lose your modifications if you do.
This is demonstrated on a PSP 3004.
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