If the downloaded file is in a compressed format (e.g., .7z or .rar), you'll need a file extractor software like 7-Zip to extract the ISO file.

Right-click on the downloaded file and select the file extractor software to extract the contents. This will give you the PES 2017 PSP ISO file.

Safely disconnect your PSP from the computer and navigate to the "Game" menu on your PSP. Select "Memory Stick" and then choose the PES 2017 game icon to launch the game.

Before proceeding, please ensure that you have a PSP console and a computer with internet access. Also, be aware that downloading ROMs or ISOs of games you don't own may be against the terms of service of the game and potentially illegal.