You didn't ask me, but I'll answer anyway. For a while you needed the PS3 to get games onto your PSP, but not anymore since the Playstation Store website opened.
http://store.playstation.com/store/index.vm
You'll need to download the Playstation Network Downloader, about 2.6 MB, and then hook your PSP up through USB and you can get it to the PSP.
Hope that helps!