Well, here you will start by creating your own character, you get to choose the race, gender, job, clothing and more... In this case I chose a girl type human. A little talk is in order to make you understand the story of the game. You will talk with Liai Martinez (why a Spanish last name, I wonder) and Viviene and you will be off to your first mission. The first mission is just to get you familiarized with all the different functions of doing combat and exploring the different maps.
How to download the demo? I was trying to get the demo though the internet using my computer but when installing on my PSP did not work. It said the "game cannot be started". So then I tried a different approach. Using just the PSP and with an account on PStore you can download the demo (note that you will need to open an account if you have not already and with official 5.oo firmware or CFW5.00 M33 and above.) So any PSP can really play this demo. The only thing that was a little bit of a pain I guess its the time it takes for the PSP to download the game. It took approximately 45 minutes for the 272 MB file. But really worth it for this great game.