It's because the new psps (psp 3000 or higher) are hacked. You need to look for firmware, like Gen-D3, for the new psps so that it could run games( ISO or CSO). The hacked psps must meet conditions for it not to read ISO, CSO games thus showing it to your psp that there are no games; conditions like removing the battery or too low free memory space or when you hold the power button for far too long.
Don't know much on how to install the firmware cause I just had it installed from a friend. But you can search it on google or even youtube, there's tons.