Have you tried any other games in the PSP? The only thing I can see that would make the PSP do that (if functioning normally) is running low on charge in the battery.
If it does this with every disc you try, plug in the charger and let it come up to full charge before playing again. If it still does it after that there is something wrong inside and you should contact Sony's tech support. If, however, it is just that game then something is wrong with the disc itself. Do you know someone else with a PSP that could try the game?