That's for newbs!
You can find a list of games & apps that work on any PSP here, where there are thousands of games & apps for the PSP.
If you want to play apps such as TakeYourTime AntiStress you must launch this (HEN) first, then launch the app. When you launch it once, you won't have to launch again it except if you shut down your PSP. Some other apps also need this to work.
For official PSP games you also need HEN. Download any game from here, then make a folder called ISO on your PSP & put the game without editing anything in it there. Now launch HEN, then go to GAME on your PSP & select Memory Stick. You should be able to see the game. launch it, & you're all set, with your full-of-games PSP!