What do I do to play downloaded PC games?!?!!?HELP!

im downloading a a PC game(Final Fantasy VII/VIII)because the games are good and im a huge cactuar fan and wanna see JUMBO cactuar and summon him to attack(cool!)but what do I do to play it?is it in a ISO and i put it in my PSP?or what?

 

you have to put the iso in the ISO folder found in the root of your memory stick if you dant have one already make one and u will b str8

 

there is no final fantasy for psp lilfree. ISO is basically a copy of a disk image. Burn the disc with nero or some other program that can understand the iso format. Also ask to have this changed to the proper thread. This should of been in the PC discussion.