Your not really allowed to talk about this kind of stuff on this site, but hit SELECT while in the XMB and go down to USB MODE (It might be something else, but it has USB in it). It should be on MEMORY STICK. While highlighting it, hit the left button so it says UMD. Then hit SELECT or EXIT to close the menu. Connect your PSP to your computer and go into USB mode. A single file should appear. Just drag-and-drop it on your desktop. Then exit USB mode, hit SELECT and change the USB MODE back to MEMORY STICK. Hit SELECT again and enable USB mode again. Drag the file to the folder called ISO in the root of your memory stick. If you don't have the ISO folder, just make it.
EDIT: I took to long typing this and P3nnyw1se stole my kill, er...I mean reply...(I been playing a little to much Halo).