The PSPe, a very simple very freeware and still under development emulator, is the only way I know of to run PSP games on your PC. Thing is though, what with the emulator still in its infancy, that these games just have to be of the homebrew/demo variety, as commercial game compatibility hasn't been implemented yet. Still, it's a handy little program to check the quality of them homebrew games you download before transporting them to the actual console (or UMD). Download PSPe here.
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