Find the page with the game on it you want on your PSP, then, View Source of the page. (View - > Page Source)
Find the .SFW file that's embedded in the page. Type the URL of the file and navigate to it. Then Save the page. (Ctrl+S)
Well, there's a way; A very complicated way, to do it. But what is the best route is to put it on your memory card, then navigate to it on the web browser and bookmark it for ease of access.