I do know that indeed. Although (as far as I know) you HAVE to have your PSP connected to your PC while your downloading it. And you can't pause the download either =(
Luckily if you own a PS3 though (which I do), you can d-l it on that (pause enabled) and then move it to your PSP. If there's a way to download things directly to my PC instead of my PSP, could someone let me know please.
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I wandered though the weird and lurid landscape of another planet.