It's not a stupid question. If you have PS1 games downloaded from the Playstation store, you simply plug in your PSP to the PS3 via a USB cable (it uses the same connection as your PS3 controllers), set your PSP to "USB Connection." Go over to the game title on your PS3, hit triangle and choose copy.
Once it is on your memory stick, it is on there until you choose to delete it. Saved games can be transferred back and forth between the PS3 and PSP (although it can be slightly annoying to do so). The game file is "paired" with the PSP though, so you cannot use the memory stick in another PSP and expect to be able to play the game.
You can use the same process to download PSP games from the Playstation Store to you PS3 and then copy them to your PSP without using your computer.
All in all it is a nice little extra feature to have. It would be nice though if Sony actually cared about delivering PS1 games to the PSN, especially since Japan has so many awesome games available that we don't.
