So you want to begin downloading free psp games from http://www.pspgamcrazy.com. Well you are going to need Custom Firmware meaning a hacked PSP. Follow this guide to get Custom Firmware!
Create a Magic MemoryStick (if you don’t have one)
Now that you have both a MMS and a Pandora Battery put them into your psp, turn it on and click “X” now it should begin downloading, when it is done it will turn off, if it does not turn off then just wait 5 minutes to be sure. When you turn it on again you will have custom firmware! Congrats!!!