The file extension PKG identifies PlayStation Store Downloaded Packages, ie downloadable software from the Playstation Store. This includes movies, games and demos for the Playstation 3 and PSP. In addition, game updates in this format are offered. PKG files are encrypted files, which can be installed exclusively on the Playstation.
For PSP users, there is the free PC program 'Media Go' (with access to the Playstation Store), with which you can buy games, etc. and save as a PKG file on the PC. These files can be transferred to the PSP via USB cable and then installed.