Do you have a loader?
If not, download Fastloader v0.7
HereRead the README file inside the Fastloader v0.7 folder.
It will tell you that you need to put the .ISO file in the root of the memory stick in the ISO folder.
Then just exit out of usb mode and play your game. In Fastloader it will say the psps speed (222mhz) press select twice to turn it up to 333mhz. HINT: This is optional, all it does is makes your psp work faster so load times are shorter, it does eat away the battery faster though.