Would you be willing to answer a few brief questions about PlayStation Forums?
If you have a PS3 go onto the store and check from there. You may have to download and transfer from the PS3 but there is also a chance the game isn't supported for PSP/Vita yet. It should though since it's a new release.
Hope this helps.
it isn't working right now on either PSP or Psvita, they're woking to fix that soon, it only works on the PS3