Do you have installed if you are using an actual PSP?

To understand the landscape of Call of Duty on the PlayStation Portable (PSP), we have to look at what was officially released versus what the community created. The Official Release: Call of Duty: Roads to Victory

If you are trying to set up classic Call of Duty on an emulator, the process requires custom firmware, specific ISOs, and tweaking controls, which can be legally grey and complex.