You cannot "import" installed PC games — PSP uses a different CPU (MIPS) and OS. You can only transfer PSP-format games (ISO/CSO/EBOOT.PBP) via Memory Stick.
Legal Method (PSN Games You Own)
On PS3 or Vita: Sign in with same PSN → Download List → download PSP titles → Connect PSP via USB → Copy to PSP/GAME.
Or use Media Go (legacy PC app, may still work) to download owned PSP games, then sync via USB.