PSP games are basically available in two formats one is ISO and One is CSO. PSP CSO games are nothing but compressed PSP ISO games. It would be important to note that PSP CSO and ISO are not exclusive formats to PSP games, they can contain almost any thing like movies, songs, PC games or softwares.
The procedure of adding psp cso games is same as iso games. You copy the downloaded cso game to your psp and copy it to the iso folder on your homebrewed psp. It is necessary to have your psp homebrewed or the games wont work, both CSO and ISO games. And the reverse will be true if you want to back up or remove the game from your PSP.
CSO Games have lately become very popular due to its small size. Its easier to transfer over the net or manually. PSP gamers are also on an advantage because they can add more games to their psp and savor a variety of games on the same limited space PSP.
PSP CSO games also have their disadvantages. Due to the compression in the CSO games these games take more time to load and also freezes the psp at times ( But very rarely… ).
Game on !