Take a look at this video from Sony for a preview on how to download games onto the PSP Go. There are two methods that you can use to do this and both are explained in the video.
You can download games onto the PSP Go from just about anywhere where you can get a WiFi connection. Connect the PSP Go to the Playstation Network and you can download games directly onto your PSP Go. PSP games are relatively small and the PSP Go casual games at around 20MB are even smaller. With a fast WiFi connection you should be able to download games in no time.
The PSP Go only has a finite amount of memory. If were only able to do direct downloads from the PSN then you could potentially fill your device pretty quickly. This is where MediaGo comes in. Install MediaGo on your PC or laptop and you can use this application to manage the games, apps and data on your PSP Go.
By using MediaGo, your games and applications can be stored on your PC where they are safe and transferred to the PSP Go when required. MediaGo is also handy for backing up game save data.
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