I know it's a noobish question, but I'm not sure. I always assumed they'd come as PSX rom files and you have an emulator to run it on your PSP. The reason I ask this is because I downloaded what I thought was a PSX game but it was actually an EBOOT. It's 539MB which is more-or-less the size of a PSX game.
Sorry if this question is against the rules of rom talk and stuff, but I need to know just in case it's something harmful.