I Am Unable To Load Games On My Psp With The Version 3.95 Slim N Lite. Can You Help?

Ok... Your problem is that you are using Official Sony Firmware. Sony, in an ongoing effort to stop software piracy (the practice of downloading a game and playing it off your memory stick without having paid for the game), programs their firmware to block any software that does not have the appropriate security certificate from running off the memory stick.
The only way to change it, is to 'hack' the firmware, and install custom firmware (like 3.9 M33) that is written by people that believe that Sony should not limit the use of the full potential of the PSP (and they ALSO feel that you should not play games that are illegally downloaded, but feel that you SHOULD be able to save battery life by copying games you HAVE bought to the memory stick and playing them without having to run the UMD, which uses a lot of power).
The PSP system is an immensely powerful system capable of a large number of tasks, and considerably more if the ability to run custom software (called homebrew) is unlocked.
Now the really bad news: You will not be able to easily 'downgrade' your slim PSP without having a friend that has a previously 'hacked' PSP running custom firmware (and I believe it HAS to be a 'fat' PSP).
You will need to google (or the search engine of your preference) the phrase "how to downgrade my slim PSP" or something along those lines.. You will then have to work your way through figuring out what information is the most current (mostly by post date.. If the post is more than 3-4 months old, it's probably out of date), then figure out how to do what they tell you to do.
I'm sorry I cannot give you more detailed instructions, but as I don't own a slim PSP, I have not been able to experiment to find out what is the best technique. I can hack a 'fat' PSP in about 10min, but the slim will 'semi-brick' without some additional preparations that I have not been able to work out.. And since I don't have a slim to practice on, I wouldn't even know if I'd done it right... Best of luck to you, and I hope I've helped steer you in the right direction for figuring out how to make your PSP do what you want it to...