You can download the game "downloader" file to your PC, but you need to connect a PSP via USB in order to transfer it into the system. Once you launch the "downloader" file, it'll download the game directly from the server onto your PSP.
Firmware requirements: Latest (because the PC/PSP store phones home to authenticate your PSP Firmware version).
If you have a PS3, it's pretty much the same deal except you're downloading the entire game to your PS3 first (which you can launch in your PS3 as well). Once you select the game, press Triangle and go for the transfer to PSP option. It'll ask you to connect a PSP. Do so, then it'll transfer the game to the PSP.
Formerly known as: Gothann