First off, read the rules of these forums.
Assuming that you just got your PSP, it's most likely a PSP Slim. If ever you want to play backed up games, you'll have to first buy Pandora's Battery, along with a memory stick ProDuo that's between 512mb and 2gigs. There are several excellent guides around these forums. It doesn't matter what firmware you are presently running, Pandora's Battery and the MMS will fix everything.