I wish Sony would release more downloaded demos of PSP games. they have in the past, but they don't take advantage of it. it would be a great way to try games that i would never consider buying...might be enough to change my mind and gain a sale.
Keep in mid thought that some demos are in the UMD format.
They do that because they either want to do the following: keep it exclusive, save space on the memory stick, makes it more widely known since it is only on a limited supply, or all of the above.
This is like the only site that has every single demo ever released. The reason why it is slow is because you are downloading it on a computer. It doesn't download that way. The only way to download it is to download it with the psp. Just try it out. It is pretty cool! (The download is customized in a way that it makes it look like Sony's download prompts.)
By the way, what firmware do you have? I made a thread on how to hex edit game demos to work on your psp without updating.