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CSO is a compression format used to shrink PSP ISO images. This was popular among PSP users to conserve limited storage space on Memory Stick Duos.

: Action commands (Quick Time Events) are sometimes replaced by simple text prompts or button-on-screen indicators. Community Perspectives

Open the ISO folder (if it doesn't exist, create it in the root). the .cso or .iso file into the ISO folder. Disconnect the USB. Go to Game > Memory Stick and run the game. Tips for Optimizing Performance (Newer Versions)

While Capcom never ported the game to PSP, the community has kept the idea alive through creative projects and emulation:

Extract the downloaded ZIP file to obtain the internal ISO/CSO file. Open the PPSSPP application.