Most of the PSP Games comes in the format of ISO or CSO. These games are put in the E:ISO as many gamers know.
But there are also games that come with two files which are the EBOOT.PBP and KEYS.BIN and have to be treated specially. These are mostly, demo games or some games converted from Playstation series. You have to create a folder(eg. pspmyspace) and place these two files in that folder. You will put this folder in the following:
E:PSPGAMEpspmyspace
Basically u just copy the folder where you place the two files into E:PSPGAME