...here are two things I found out the hard way:
1. Have a browser open with your online bank statement or have a paper bank statement with you, because your credit card info MUST BE EXACTLY like on the statement. If you screw this up in the vicinity of 10 times, you get locked out of the account for a while.
2. Your PSP has to be activated to download the new games. This means having the official 3.72 firmware on your PSP and downloading a file to enable the feature. I don't know if you can get around this with custom firmware though.