On EBOOTs and ISOs, you can press X to show an information screen. You have a green "Play" button and a "Press Square to save:" option. Pressing "Play" launches to a black screen, but eventually crashes--Both for EBOOTs and ISOs, both on ms0 and ef0.
The "Press Square to save:" option doesn't seem to do anything: The Memory Stick light on the PSP doesn't flash at all (which I'd expect to happen if it was extracting and saving an asset file.) (Is the file supposed to save to the same directory?)