How to Convert an EXE to an ISO for the PSPby Joshua Bailey ; Updated September 22, 2017
The Sony PlayStation Portable (PSP) can play ISO game files from its memory stick. This means you can carry many different types of games on a single memory stick. Many times when you download a PSP game on Windows, it comes in an EXE format. This means it is a self extractable file that will extract the ISO file from inside of it when run.
Locate the "EXE" file on your computer.
Right click the "EXE" file and a menu will appear. Click "Extract All" to open a new dialog box.
Click "OK" and "Close" to extract the contents of the "EXE" file into the same folder that it is already in. You will see the "ISO" file.
Connect your PSP to your computer with the USB cable and select "USB Connection" from the PSP menu.
Click the "Start" button on the computer's desktop and click "Computer." Double click the "PSP" drive. Drag the "ISO" file from step three into the PSP's "ISO" folder.
Press the "O" to disconnect the PSP from the computer after the transfer completes. Select the game from the PSP menu's game section to play.