PSP games are games created for the Sony Playstation Portable, or PSP for short. They are normally sold as either small plastic discs or as downloadable content on PSN. To use them with PPSSPP, we must turn them into files. An "ISO file" is a raw copy of a disc, which can be compressed into a "CSO", or compressed iso (or "CHD", an alternate format). For instructions on how to do this yourself, see the instructions on dumping games.
PSP games that have been downloaded from PSN onto a real PSP can be copied off the PSP and played directly.
After this, the ISO files will be located on the virtual "memory stick". Just pick them from the Games tab (click Home if you can't find the files).
That's it!