Kotaku - Download a game on the Xbox 360 or the Wii and you're good to go. You can play it. Download a game on the PS3 and you just might have to then tell the PS3 to install it.
You have to manually install any game that you have downloaded in the background. This is strange, sort of like the PS3 is getting back at you for being an efficient multi-tasker. By allowing background downloading, the PS3 is respecting your time and not forcing you to sit through a download. But by requiring you to find the bubble icon that represents the game you just downloaded, click it and install the game, it's just finding a different way to hassle you. Why do I need to tell the PS3 I want to install the game? What else does this system think I want to do with the game I just downloaded??