If you don't have a wireless router or PS3, you can download games, demos and other content from PlayStation Store to your PSP using a PC with an internet connection. This can be done using a program called Media Go.

Here's what you need to download games from your computer to your PSP:

You cannot view PlayStation Store content on your PC, nor can you download PlayStation Store content directly to your PC. You must have a PSP connected to your computer to access the store via the Media Go app.

Here's how to buy PSP games from the PlayStation Store on your PC: