You don't need to convert them, you need to extract them.
If you don't have WinRAR, go to Google and type in "WinRAR download", download the file (you can either open it or save it), and install it. Once you've done that, double-click the RAR file (the game you want to play), and it should open up WinRAR and show you either an .ISO or .CSO file of the game. Copy that to (X being whatever your PSP drive letter is when you have it connected to your PC) X:/ISO (this all depends on what firmware you have, of course). Then go to your PSP menu, go to game, memory stick, and the game should appear. If you're using DevHook, you'll have to load it from that.
What firmware do you have? This is an important factor to allowing you to play these.
