MMorpgs On PsP???

[Jakuza]

Uh, I'm pretty sure he's lieing, psp's don't read .exe files I don't think.

This is true.
PSPs can only read .mp3, .mp4, .wav, .cso, .iso, .acc, and .avi files.
(Media wise, not including picture files)

Unless your friend has solid proof, this is a lie.