There should be some form of voucher in the packaging, or given to you by the shop you bought it from.
you dont
Yes, you can.
The PSP Go does not have a UMD slot, all its games are bought and downloaded from the PlayStation Store.
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No, you don't need to use a computer. You can connect the PSP straight to the PSN, and download games directly.
One can find free downloads of PSP games from pspshare and pspube. One can find and watch hundreds of free PSP games from Youtube and download from there.
In the playstation store
some of them are free to download like demos.
You can download free PSP games from PSP blender, and many torrent sites. You can also try out demos of a game on several sites. However, that depends on if this means legally or illegally.
Games that are downloaded without payment is piracy and the Playstation Network has exclusive rights to PSP Go download sales
No, while PSP games are region free, the UMD movies are not. A UK UMD movie will not play on a US PSP.
The PlayStation Network might have a free game for download occasionally, check there.