Why doent .CSO files work in my PSP?

I have a custom firmware 4.01 M33-2 version of PSP.But whenever I put a .CSO file in the ISO folder , The game doesn't work.please help me out.
Update: I have a custom firmware 4.01 M33-2 version of PSP.But whenever I put a .CSO file in the ISO folder , The game doesn't work.please help me out.Also tell me where is the recovery option.
Update 2: I have a custom firmware 4.01 M33-2 version of PSP.But whenever I put a .CSO file in the ISO folder , The game doesn't work.Also tell me where is the recovery option.please help me out.Try to explain it properly.please dont be brief in your answer.Thank you.
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