Your PSP must be running custom firmware (such as PRO-C or LME) to execute homebrew apps.
GTA 3 was built on the RenderWare engine, which required extensive modification to run efficiently on the PSP's unique hardware architecture. The Breakthrough: Reverse Engineering RenderWare
Your PSP must run CFW like ARK-4 or PRO-C to run unofficial game files. Storage: At least 1GB of free space on your Memory Stick.