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All you need is afwe things like a usb cross over cable, a large size sd card compatiable with a PSP handheld , a fast PC and software that can convert psp umd games, transfer them to sd card, and run them from your card as well.
This can be very tricky if you never have done it before but there is software out there that can do all the hard bits for you and copy psp games to memory stick in no time!
There are dozens of software tools out there that claim to do this but the one I've found the most effective and easy to use is PSP X Studio.
This PSP backup tool not only copies psp umd games it also gives you access to free psp game downloads , convert them to play straight from psp memory stick.
Its that easy!!
To get PSP X Studio visit -> Copy UMD Games to memory stick