PSP games belong in the /PSP/GAME/ folder on your Memory Stick PRO Duo.
Memory Stick Root └── PSP └── GAME ├── GameFolder1 │ └── EBOOT.PBP └── GameFolder2 └── EBOOT.PBP
GAMEEBOOT.PBP/PSP/GAME/ as wellGAME without subfoldersEBOOT.PBP)/ISO/ (that's for CSO/ISO backups on custom firmware)After copying, the games appear automatically in the XMB Game menu.