PSN

I downloaded a game from the PSN, that can't have any harm on the psp like some of those UMD's are can it??

The "killer" could still be in it I'm guessing. Research is the best way to go. See if a game uploading site has the game there and it has "piracy fix disabled" or something of the sort. If it does, then you shouldn't use the one you just DLed.