You must have a firmware installed other than the Official Sony firmware in order to use psp-pda. If you need help putting a "Custom Firmware" onto your psp you can find an almost limitless selection of tutorials online. Then you just need to place it in the game folder.
They are both the same thing as far as the PSP is concerned. When the game finishes downloading from the PlayStation Network, it is there on memory stick and ready to be played whenever. There is no formal 'install' procedure like for a PC game.
You can go onto the internet with the PSP and then click file and save image
No, the PSP Go does not have a UMD drive.
It saves onto the actual psp.
You have to buy and download them from the PlayStation store
If once you download it, if it comes in a ISO file then you need to put it in the ISO folder in the root of your memory stick in the ISO folder you can ask more questions here http://sickmods.oxyhost.com
no cuz psp games are only made for psp devices.
No, you download them straight from the PSN using the PSP.
You can't, your psp comes with the ability to access the internet if there is a wireless modem close by or something, but you can't ever download the internet onto your psp.
YOU CAN'T
You access the PSN from the PSP's menu bar.
Log onto www.playstationport.com and search for "updating my psp". You will find it. :)