Yes, lets start this bitch section off right. When downloading games and demos on the PS3, you must "install" them first. This is not an automatic process. You have to select the game/demo and press X, then watch the nice progress bar creep across the screen.
Would it be too much to ask to automate this one Sony? I had no idea you were going to go all "PC" on your next-gen console. Seriously, there are reasons I do not play games on the computer.