Well it's not quite so simple as 'download games, transfer to psp, voila fun happy times'. For the vast majority of homebrew stuff (which I can only assume is what you mean), you have to have a specific firmware support. 1.00 or 1.50 is basically the... format I suppose, everyone uses. In your PSP folder, you have PSP/GAME and it's here you put your homebrew stuff. But that's only if you're actually on 1.00 or 1.50 (and if you got your psp any time recently, you're not on those unless you've been toying with it).
Well. It's kind of hard to go through it all. Go to the settings tab (far left in the PSP XMB), then scroll down to system settings, scroll through their until you reach like... PSP Specifications or something, I don't remember what it's called too clearly. It'll say in there what firmware you have. Just say that, and someone will generally be able to link you to places to walk you through the whole process of this.
Also: you might break the thing trying. Unless you have a very early PSP model (like I do), there's a small chance of HORRIBLE ERROR which will kill the thing. So yeah. Watch out, weigh your chances, do whatever.