I have heard this question time and time again and the answer is YES. It is possible, It is quite rare, but remember the PSP has an internet browser and download buttons can be found on any page with malware or spyware. You might want to avoid places where the downloads are very fishy. I strongly do not recommend downloading anything from untrusted sites. If you need to download, be sure it is from a trusted site, or else you could end up having your PSP slowed down or maybe even unusable anymore. Be careful!