=====Downloading PSP games from anywhere other than the PlayStation Store is illegal. Running Custom Firmware on your PSP is also illegal, and will automatically invalidate your warranty. By running CFW on your PSP to play illegally downloaded games, you run the risk of 'bricking' your PSP, if this occurs, then you're on your own, as by running CFW you've just invalidated your warranty.=====
If You are still adamant on running illegal games on your PSP, the go here --PSP Iso -- and make a folder called ISO (all caps) in the very root of your memory stick, and put the ISO/CSO in there, eject the PSP, go into your memory stick, and away you go! Happy Hacking guys! (by the way, the normal size for ISOs/CSOs is about 200-2000 mb, so make sure you have a preeetttyyyyy big memory stick (MS)
If your PSP is bricked by CFW, then you are more or less completely screwed.
The only way of "un-bricking" your PSP is through the use of a Magic Memory Stick and JigKick Battery, avalible of ebay and other online stores. it is also avalible using a CFW PSP and the homebrew app "psp tool" to make a pandora battery (magic mem stick and jk battery combined) YotTube is your friend there : )