I step aside from my usual posts for something that has been driving me crazy ever since I first heard of "Connectivity" between the PSP and the PS2. I will admit it took me longer than I hoped and more downloads that I like to admit before I could out the truth.
That there are only 8 PS2 / PSP games with this feature and none of them include GT on ANYTHING!!!
I say ANYTHING because it was doing research for my post that I discovered possible PS3 connectivity with GT5. Let me set the record straight no connectivity, no GT PSP DLC period. I checked both GT5 XL Edition and GT Prologue. Both are excellent racing games but no connectivity and especially not with the PSP. Despite what some might say, it's in the game menus, often hidden, but if it is there it's very clear.
So please do not insist something is there unless you have rock solid proof like a screenshot.