There called ISO's because of the file format there in, which is iso. All you do is search a website that hosts torrents and download a torrent that contains a psp game. The only file needed is the iso (some are compressed, which are called cso and are smaller with less files in the cso) and you put them in a folder titled ISO on the root of your memory stick. Its simple as that.
Nub's guide to torrents-
http://www.pspbrew.com/forum/viewtopic.php?t=2268
And before you ask, your not allowed to post links to websites that contain torrent's because its pirated software and illegal. But if you ask, someone can pm you links.
O and all the iso is, is a ripped copy of an official psp game taken off the umd and put into a file. They can be rather big sometimes (500mb compressed) but some are as small as 60mb compressed.