First you have to download the game and unzip it.
Then you open up your psp's files and click on the folder marked PSP.
Then click on the folder marked GAME and copy the UNZIPPED folder to the GAME folder.
Then you exit out of USB mode and go to games and click on the memory stick.
There should be the game.
You may need custom firmwire to play these dowloaded games
-Enjoy

your post is not very descriptive. you failed to mention whether or not you were talking about a download ISO game or a homebrew game.. if its a homebrew game you would use your method or depending on your firmware/psp type(slim or fat)and depending on what kernel the homebrew is made for you would place it in game150(fat only) or in game 3xx(slim and fat). and if the homebrew happens to be an emulator you'll need to follow the readme to see where to place downloaded roms. and if the downloaded game happens to be an ISO you would place it in ms0:\ISO . both the homebrew and the ISO will show up in the game section on your XMB(psps interface) and for either homebrew or ISO you will NEED a custom firmware.