How to Install new game on PSP memory Stick?  

I don't know what kind of system your PSP got. If you got official system on your PSP, the file of ISO or CSO downloaded from the Internet is useless. But for me, it is easy to work on my PSP since the system of mine is cracked. What I should do is just put the files of the ISO or CSO under the folder of "ISO", which is under the root of my psp.

As garfield_zhou mentioned before, what kind of firmware does your PSP run in?

Does it run on official firmware or on custom firmware?

The former would be, as the name implies, official, from Sony itself and it won't be able to play full games from the Memory Stick, perhaps demo games but, that wouldn't be satisfying. If your PSP runs on custom firmware, that can play games loaded in your PSP.

When you have a custom firmwared PSP, it would have a recovery menu when you hold the R button when you try to turn it on. You just have to paste the ISO and CSO files into your "ISO" folder located in the root of your memory stick.

if you have custom firmware installed, then just copy the file in the iso folder. both iso and cso should be there.