What is the expected battery life on the PSP Go?

PS3 games work with the PS3 only. PSP games work with the PSP only.
You can play a few games from your ps3 on you psp using remote play, but the selection is limited to only a few psn games and you need to connect to your ps3 via a highspeed internet connection. The visual quality is poor, due to it being streamed to you psp from the ps3 via the internet. remote play is more useful to view pictures, video and music from your ps3 while in other places.

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You can transfer video files, photo files, and music files from the PSP system to your PLAYSTATION 3 and vice versa using a USB cable. To do so, simply place the PSP system into USB Mode (Settings icon (Settings) > USB Connection icon (USB Connection)) and the PSP system will appear on the PLAYSTATION 3 similar to a USB storage device.
Connect your PSP to your PS3 with a USB cable, highlight the demo on the PS3's XMB, press triangle, and select copy.

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First you need to register your device. you rgister it from the ps3 settings menu. then go on to the ps store on your ps3. download demos from psp section. instal them the copy them to your device.
What are the best legal sites to download music from? The ones where you pay a small fee to get good quality music. Is what I am referring to.
lets say my internet speed is 1.52mbps and my download speed is only 30kbps. How would I go about making it so my internet connection wasn't being used for anything else so I can up the download speed.
You can't. 30kbps is the most you can get from the combination of the download website/server and your internet connection. I imagine that it is mostly the website that is slowing it down but you will have to wait it out.
You can setup QoS, whic will prioritize the connections according to whatever rules you set, but the most likely cause is the server you are connecting to, not anything with youe computer/network.
If you are using RapidShare or any other free hosting serivce, 30kb/s is the best you'll get without a paid membership.
If it's a torrent download, forwarding the appropriate port and limiting the number of connections works well
You would need something to throttle your bandwidth. It's likely more expensive and time consuming than you'd want to get into.

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Of course, your ISP likely does some of this for you (without your knowledge), and you are also limited by the upload speed of the server you're pulling data down from. If they only allow download speeds of 30kbps, that's all you'll get regardless of what you do with your internet pipe.