Tekken 6 had DLC, including additional characters (like the Star Wars Cameo – Darth Vader on PS3 and Yoda on Xbox 360, though these are not on PSP) and special items. On the PSP, DLC was often locked behind .rap files. Without the correct RAP, your saved game would load, but the extra content remained grayed out.
It is also possible you are looking for the music itself. Tekken 6 is famous for its aggressive electronic, rock, and hip-hop soundtrack.