Once you've completed the demo level, a password will appear in the upper right corner of the final screen. By entering this password on the PlayStation site from your PC or from your PSP, you'll be awarded a prize such as new sound files and exclusive wallpaper files. Your prizes will vary based on the LocoRoco you saved in the demo.
To download the LocoRoco demo, simply visit the official LocoRoco demo page from your PSP and follow the on-screen instructions.