Fix: Your download was corrupted. Re-download using a download manager with resuming capabilities (e.g., IDM or JDownloader2).
Even in a compressed format, the game packs a punch with features:
You will need the PPSSPP Emulator.
Fix: Do not use the in-game save system exclusively. Use PPSSPP save states after each successful mission.
Before you spend hours hunting for "Bully PSP ISO Highly Compressed" that actually works, consider this: Bully Psp Iso Highly Compressed
Rockstar released Bully: Anniversary Edition in 2016 for mobile devices. This isn't an emulated PSP version. It is a native port with:
The PSP version is for nostalgia; the Anniversary Edition is for actual gameplay. Fix: Your download was corrupted
To play a Bully PSP ISO, you will need an emulator. Since Sony discontinued the PSP, playing via emulation is the only way to experience these games on modern devices.