Download Frankie's Quest v0.2 for PSP (Homebrew)
Note: You will need a PSP with custom firmware capable of running homebrew applications.
Extract the archive to any location of your choice.
Have a look at the document: Read_Me.pdf.
Connect your PSP to your computer via USB.
Take your PSP in USB mode with the option "USB Connection".
Copy the folder "FrankiesQuest" to X:\PSP\GAME\ (where X is your PSP drive).
Select the game from the PSP menu and enjoy!
And don't forget to leave feedback for us here as a comment!