This is only for backups of a PSP game you OWN and not DOWNLOADED.
Step 1: Obtain a .ISO
Here is a tutorial that I wrote that will help you better understand how to use Active ISO File Manger 2
I am using a copy of Star Wars Battlefront 2. (That I own)
Step 2: Download PSP ISO Compresser v1.4
Step 3: Convert
Step 4: Now Play!