Step 1) Create an account.
Step 2) Log In.
Step 3) Find the game you want, which is harder than you'd think as they're horrible sorted out.
Step 4) Be told you need to install Media Go!
Step 5) Install Media Go!
Step 6) Try to buy again.
Step 7) Be told that you need something called "PSP Downloader" from Sony.
Step 8) Download PSP Downloader.
Step 9) Try to buy again.
Step 10) Be told you need to upgrade your PSP firmware.
Step 11) Update Firmware.
Step 12) Try again.
Step 13) It works.
Hurray for Sony!