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You can play psp games off your memory stick pro duo .
All you need to do is download an iso or make a back up of your UMD in the form of an iso.
You then have to put the iso on your memory stick and play it of on your psp with a UMD emulator i recommend devhook download it from here. But here's the catch you need 1.5 firmware PSP to play games .
To check whats your f/w (firmware) version go to "system settings " on the main menu > choose "system information" > and see the system software
YOU CAN NOW DOWNGRADE ANY PSP SEE HERE
If your system software is 1.00 , 1.5 or 2.00 YOU ARE LUCKY. You have to upgrade your psp from 1.00 to 1.5 from here . If you are on 2.00 you can downgrade the psp to 1.5 (very safe) from here. If you are 1.5 go to the end of the text
So what you have to do if you are above 2.00 and want to play iso's ? You have to downgrade them . Downgraders are software's which make the psp's f/w from 2.xx or 3.xx to 1.5. but they are kinda risky. (but i say you do it :P i did it , it worked )
If its between 2.00 and 2.71 again you are kinda lucky . You just have to downgrade your psp to 1.5 (with little risk) and play the games . To downgrade look at my previous post here
If you have TA-082 PSP ,check click here and if your are between 2.00-2.71 all have to do is install a software see my previous post here .
If you are between 2.8 and 3.03 you are again kinda luck . TO downgrade look here
NEW : you can now downgrade any psp with firmware 3.50 or below see my post PSP 3.50 downgrader / downgrading guide - for 3.50 and below
But What the downgrader fails ?Sorry your PSP is dead you can either change the mod chip or throw the psp away or use it as a paper weight. : (
SO IF YOU ARE ON A 1.5 psp SEE here