The announcement of a PSP store - accessible via the PC - was open for business today, but only for Japanese customers. PSP-Vault.com have a great article up about with a walkthrough of the store. From the looks of it there's a lot of stuff on there already and we're looking forward to getting our grubby mitts on the content soon. Unfortunately you can only access the store if your browser and/or operating system is running with Japanese language settings. Also, the download plugin doesn't work with Macs.
So until the store is available for Europe and America (and they sort out that ridiculous Mac problem), we'll have to keep downloading our content manually. It's a shame, really. Our new Crisis Core
PSP Slim is hungry for downloadable content.