PSP games are games originally created for the Sony PlayStation Portable, or PSP for short. They are normally sold as either small plastic "UMD" discs or as downloadable content from the PlayStation Store through PlayStation Network.
To use them with PPSSPP, we must turn them into files. An "ISO file" is a raw copy of a disc (which can optionally be compressed). For instructions on how to do this yourself, see Dumping games.
PSP games that have been downloaded from PSN onto a real PSP can be copied off the PSP through USB and played directly.
You can also download demos and homebrew games, these are available for free.
See here how to move your games to your mobile.
If you have the game you want to run as an ISO, use the Games tab to navigate to your game. Clicking the "Up Arrow" icon moves up a directory level. Tap the Browse... button to navigate using your operating system's file browser. Use the Home icon to return to the root folder of your partition.
If you are running the Windows or macOS version of PPSSPP you can also just select File -> Load from the menubar.