Yeah, it is like iTunes, you go to the Playstation Store website, buy the game and download it. The PSP has wifi built in, so it isn't too complicated ( I should hope anyway). Oh and what can I say I married the best girl ever!
I've got a PSP fat that I've had for a few years now... I even got one for rimfirehunter for his birthday that same year. I just recently started playing mine again, thinking about getting a new game like Gran Turismo or NFS Shift.