It’s an ISO file or CSO file that you downloaded. You must make a new folder on the root of your psp. Name it “ISO”, then put your ISO/CSO files there. I had problem at first, but then I found out I must make a folder. Hope I help!

first, to play . iso and . cso games on your psp, you need to have a custom firmware first instead of using an official firmware from sony.
check some psp firmwares here: http://adikgamersclan. blogspot. com/
then look for tutorials on youtube

Best place to go for getting Custom Firmware is at Psp-hacks. com. . . They have people there on the Forum to help you thru it all, also they have alot of tutorials