You can just put it in your psp iso file.(PSP->ISO).CSO is just the compressed version of an iso. So itll work.

Hey heres a link that I think may help ya out with that.http://forum.mininova.org/index.php?act=…
Hope it helps!

the psp cant read much except lo fps flash and umd disks. chances r it wont be able to play that without a custom firmware. if uve upgraded its more diffult. i dont know the software u need because the preograms and frimware play things differently. i suggest just playing umds. put .cso in google and try and find the programs u need for it. or go back to the site u were on before. fromats like .rar can be much harder to open then ur average like .zip if u dont know what ur doing. most people who try this sorta thing have to put some effort to get it working. u can try putting a .cso on the psp but i dont think itll work. u also void ur warrently when u play things the psp isnt supposed to. i kinda would need more infor on what u downloaded and if ur still intreasteed contact me