Can you download PSP games on PSP?

Excuse me, I'm curious about something. I've been wondering if it's actually possible to download PSP games directly onto a PSP device? I've heard some people mention doing it, but I'm not sure if it's true or not. Is there a specific process or method that needs to be followed to achieve this? Additionally, are there any potential risks or legal implications associated with downloading games onto a PSP? I would really appreciate it if you could clarify this for me.