This is to only be done to backup a game you already OWN not one that you have DOWNLOADED.
For this tutorial I will be using a copy of 'Star Wars Battlefront 2' that I own. This also work on any other PSP game.
Step 1: What you will need
-A UMD of any PSP game
-Active ISO File Manager 2 (link will be provided [software is FREE])
Step 2: Obtain the files needed
Step 3: Input the files to Active ISO File Manager 2
Click the button with the image of the folder at the bottom right of the window and locate the folder. After this select 'ISO 9660'. Finally press 'Create ISO'
This process will take a few minutes.
Step 4: Your Done!
If you would like to save space but still play you can convert you .iso into a .cso