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First off, before you get too excited, you should know that the demo requires the PSP’s 2.70 firmware update in order to run. The update is available now, but currently only from Sony’s Japanese website. Sony doesn’t recommend using this firmware on other region PSPs, but in reality it works just fine. Once you are all updated you are free to play the demo.
You can grab the demo form the LocoRoco website, and if you can’t figure out where you should be clicking then head straight here. Once you have the 7.6MB demo on your PC, all you have to do is transfer the EBOOT.PBP file to the /PSP/GAME/UCJS10041/ directory on your Memory Stick Duo.
There is currently no information on whether or not Sony plans to release a US or European version of the demo. LocoRoco is scheduled for release in Europe on June 23.
Update: The European firmware update is now available.