There is no official LEGO Ninjago game released for the Sony PlayStation Portable (PSP)
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A PSP game should never be an executable file. If the "download" is an .exe , it is likely malware. There is no official LEGO Ninjago game released
: Widely considered one of the best in the series, this game was released for the PlayStation Vita and 3DS in 2015. It features an original, non-canon story where the ninjas lose their memories to a new villain named Ronin. LEGO Ninjago: Shadow of Ronin : Widely considered
While I couldn't find a specific Lego Ninjago game developed exclusively for the PSP, there are several Lego games available for the console. These games often feature characters and themes from popular franchises, including Ninjago.