PSP games are games created for the Sony Playstation Portable, or PSP for short. They are normally sold as either small plastic discs or as downloadable content. To use them with PPSSPP, we must turn them into files. An "ISO file" is a raw copy of a disc, which can be compressed into a "CSO", or compressed iso. For instructions on how to do this yourself, see the FAQ.
PSP games that have been downloaded from PSN onto a real PSP can be copied off the PSP and played directly.
If you are running the PC version of PPSSPP and you have the game you want to run as an ISO, just do File-Load, or use the Games tab to navigate to your game. Clicking ".." moves up a directory level.
If you want to play on your Android device (or other portable), then follow these steps: