I have to admit the PSP is a very nice piece of kit but the games are just way too exspensive so let me explain just how easy it is to play free games from your memory stick in the PSP.
1. First you are going to need a iso file of the game you want to play, i am not going to get into what an iso file is all you need to know is that it must be an iso file to play on your PSP. You can download all the latest games from many sites, most will charge you a one time fee and then you can download as many as you wish forever. Take a look at the bottom of this article and you will find a link to my web page where you can see the site i use for all my game downloads.
2. Right now you need a small program that will run the game from your memory stick, you can download it from http://www.psp-hacks.com/category/13 it is called PSP RunUMD UMD Emulator v0.8C. Download it and put it onto your memory stick. Follow the instructions that came with the file and put it in the exact folder it says.
3. In the instructions that came with PSP RunUMD UMD Emulator v0.8C it will have said to cret a folder called ISO this is where your psp games will go. Connect your PSP to your PC and drag and drop the files into the ISO folder. Now switch on the PSP and selct the PSP RunUMD UMD Emulator v0.8C from the memory stick. Once the program is running you should see the games you have in the ISO folder, select which one you wish to play and thats it you are playing PSP games from you memory stick!
If you buy a 2GB stick then you will be able to fit 3-4 games on it and still have room for other files.