1. Connect your PSP to the PC.
The PSP works like a USB Memory Stick Duo reader too. This would allow you to easily transfer pictures, audio, and other contents between the Memory Stick Duo and the PC. You would to use a USB cable with a Mini-B connector and Standard-A connector to access the Memory Stick Duo in the PSP. This USB cable is commonly used for connecting digital cameras while the Standard-A connector is often used for printers. Connect the Mini-B to your PSP while the Standard-A is for the PC. When you access the PSP software, go the settings list and look for "USB Connection." Your PC would say "Removable Disk Drive" which you need to access.
2. Format the Memory Stick.
To use the memory stick of the PSP, format it first. After formatting, several folders will be automatically created such as GAME, PSP, MUSIC, SAVED DATA, and PHOTO.
3. Extract the game.
How the process goes would be determined by the kind of software used for extracting zip files. If you use WinRAR, you would find the "extract here" option. Once you click this option, it will easily extract the zip file's contents to the open directory.
4. Transfer the extracted gamed to the "SAVEDATA" folder.
Copy the folder from the zip file and paste it on the memory stick's "SAVEDATA" folder. However, make sure that you do not overwrite any file when you save the extracted game because PSP may use the same name for various files, especially if it is the same game. You should just rename the file that you are going to save instead of overwriting other files to avoid lost data. You may also copy or back up your old games before saving any new data. For instance, you can rename an old folder by adding "_backup" to its name.
5. Close the USB mode.
Since your PSP is in USB mode when you connected it to the PC, click on X to turn off this mode. Do this before you disconnect the PSP from the PC.
6. Check the saved data.
Check the integrity of the data by using the Save Data Utility feature. You can find it by going to the "Game" menu. This is how simple extracting a game is to your PSP.