Data for both games is burned on the Holy Invasion of Privacy, Badman 2: Time to Tighten Up Security UMD. You can access Badman 1 by keying L, R, L, R, L, R, L, R, L, R on the title screen.
Badman 1 is only a bonus for the $29.99 retail version of Holy Invasion of Privacy, Badman 2. The PlayStation Network download only costs $19.99. Badman 1 is sold separately there for $9.99. Speaking of PSN, you can download a meaty Badman 2 demo today. The trial version has six training stages, three regular stages, and new long Omnoms to play with.