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For consoles you would download and then burn to a DVD and use that in your modded console (you need a mod chip to play burned games). For the PSP you can just put it on a memory stick and use a special application to play it from the card. The DS I believe you need a special cartridge as well. Not so sure on the DS as I have never bothered with it.
All those games can't be played on the PC though. They are merely downloaded and then moved to whatever you downloaded it for.
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