The PSP hardware does not have an R2 button—it only features a single right shoulder trigger (R). If a game prompts for "R2," it is likely a port from a DualShock controller (PS2/PS3) where R2 exists.
Quick Test: Hold R and press each face button (△, ○, ×, □) to see if one triggers the intended action (aim, brake, heavy attack, etc.).