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. 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 into a "CSO", or compressed ISO. For instructions on how to do this yourself, see the instructions on 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 demo and homebrew games, these are available for free.
See here how to move your games to your mobile.
If you are running the PC version of PPSSPP and you have the game you want to run as an ISO, just select File -> Load from the menubar, or use the Games tab to navigate to your game. Clicking the up arrow moves up a directory level.