For games, format your mem stick using the PSP.
Drop PSP ISOs on the folder ISO of the mem stick and you're ready to play it on the PSP.

 

first of all, make sure you format your memory stick from the PSP to put all the folders etc in place.
you connect your PSP to your computer via USB. Your backups of your UMD game ISOs go in ISO folder. You can also put the .cso (compressed isos) in there.
PS1 Games go in PSP > Game > GameName
Home brew goes into ... PSP > then GAME150 or GAME380 depending on what version it needs.
You will probably need to install the 150 addon to make homebrew work properly.

once its in the right folders, it shows up under game > memory stick