What firmware is your psp?
What type of game are you trying to play, homebrew, an official demo or a downloaded full psp game?
If homebrew its generally an issue with you not having the right firmware or the downloaded game not being in the correct format.
If a downloaded demo then it may not be in a correctly named subfolder of <psp's drive letter>:\PSP\GAME\
If its a full psp game you have downloaded you'll need to get someone else to help you.