Do you mean how they load or how they play with less buttons
than the ps2 pad?
Games come on UMD's which are designed like minidiscs but with a
miniDVD so it can hold all the infomation. I haven't come across
any games that you can access from the memory card as of yet.
The PSP has quite a few buttons missing. There are only two
shoulder buttons and not four like the standard ps2 pad. There is
one analogue control(not 2) and one direction control only. Also
you cannot press the analogue for the regular L3 button like on the
ps2 pad.
Has this affected any games? Well, when playing games like Tony
Hawk Underground 2 remix, it is hard as you can only use the
analogue to pan around the character when you are riding the board,
not when you are exploring on foot. You have to use the left and
right control to do rotations as the L an R buttons are used for
the caveman and acid drop moves.