Would that be
ZX-81's PSPMancala?
If so, you would first extract the zip archive with a program like
winrar.
Assuming you're using zx's release:
You will have a folder named 'pspmancala-v1.0.2', double click it.
Inside that folder will be several files and folders, double click 'fw1.5'
Copy the 2 folders, '%__SCE__pspmancala' and '__SCE__pspmancala' to your psp, put them in X:\PSP\GAME150 (X being the drive letter of your PSP).
If that folder doesn't exist, go to X:\PSP\ and right click in the empty space of the window, choose new, then folder and name it 'PSP150' (without quotes).
If it doesn't work try placing both of the folders in X:\PSP\GAME instead of X:\PSP\GAME150
Most homebrew will be compressed in zip or rar format, and inside that archive will normally be 2 folders (or there will be in a sub-directory), one with a % at the end, the other without. You generally need to copy both of those folders to X:\PSP\GAME150 and it should show up on your GAME/MEMORY STICK menu on the PSP.
EDIT: Note - ZX-81's works are freely distributable homebrew that the author has no problem with you sharing and trying. PSPHome does not provide help on running downloaded official PSP games, which the authors have given you no right to copy/download.
downloads 
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