How to play the downloaded games on 3.03 oe-c?

Hi all i donloaded Killzone and i only got 1file call: Killzone Liberation USA (Devils Nightmare).cso what do i do now?

If you dont have an ISO folder for whetever reason, in the root of your memory stick :I/
create a folder titled ISO and then just drag all the cso/iso there.

Oh and read the rules before posting again.

*Topic Title Edited*

It's ok i found out last night how to do it but thanks for your help!