How i should change this to use array?

That seems to be multiple copies of the same code with different filename arguments. As you guessed, this can and should be replaced with an array and a for loop. Something like this:

files=("../../memstick/PSP/SAVEDATA/ULES01439"
       "../../memstick/PSP/SYSTEM/ULES01439_ppsspp.ini"
       "../../memstick/PSP/SAVEDATA/ULUS10529"
       "../../memstick/PSP/SYSTEM/ULUS10529_ppsspp.ini"
       "../../memstick/PSP/SAVEDATA/ULUS10391"
       "../../memstick/PSP/SYSTEM/ULUS10391_ppsspp.ini"
       "../../memstick/PSP/SAVEDATA/ULES01213"
       "../../memstick/PSP/SYSTEM/ULES01213_ppsspp.ini")

for Enlace in "${files[@]}" ; do
  if [ -L "$Enlace" ] ; then
    if [ -e "$Enlace" ] ; then
      echo "Enlace Funcional"
    else
      echo "Enlace Roto"
    fi
  elif [ -e "$Enlace" ] ; then
    echo "No es un Enlace"
  else
    echo "No existe"
    ln -s "$PWD" "$Enlace"   
  fi
done

Notes:

1. your example filenames being defined in the files array don't actually need to be double-quoted, but doing so is a good habit to get in to because spaces and other annoying characters are valid characters in a filename.

2. curly braces are NOT a substitute for quoting variables. They're only useful for disambiguating variable names - e.g. "$var_x" is referring to a variable called var_x, while "${var}_x" is referring to a variable called varfollowed by the literal string_x`. You still need to quote your variables, whether you need to use curly braces or not.

   However, the curly braces are required when using an array variable (e.g. as shown in the for Enlace in "${files[@]}" line). And when using shell parameter expansion.

3. @muru pointed out that sometimes the code symlinks just "$PWD" and sometimes it symlinks "$PWD/PSP2Conf.ini"

   It's difficult to tell what you're actually doing, but I'm going to guess that the deciding factor there is whether "$Enlace" ends in .ini or not. If that's the case, then replace the ln -s "$PWD" "$Enlace" line with the following lines:

    if [[ $Enlace =~ \.ini$ ]] ; then 
      ln -s "$PWD/PSP2Conf.ini" "$Enlace"
    else
      ln -s "$PWD" "$Enlace"   
    fi

4. You also seem to be changing directory somewhere in the middle of that script. That might mean you need to re-define the files array with appropriate values whenever you change directories, or maybe a more complex data structure like a hash of arrays (in which case, I'd use perl rather than bash), with the hash keys being the directory and the array elements being the symlink names to be created.

5. It would be easier to accurately answer this question if you described what it was actually doing and why.

This is more about programming in general, but I'd say repetition requires functions:

make_link() {
    Enlace=$2
    file=$1
    if [ -L "${Enlace}" ] ; then
       if [ -e "${Enlace}" ] ; then
          echo "Enlace Funcional"
       else
          echo "Enlace Roto"
       fi
    elif [ -e "${Enlace}" ] ; then
       echo "No es un Enlace"
    else
       echo "No existe"
       ln -s "$PWD"    "$Enlace"   
    fi
}
make_link "$PWD"              "../../memstick/PSP/SAVEDATA/ULES01439"
make_link "$PWD/PSP2Conf.ini" "../../memstick/PSP/SYSTEM/ULES01439_ppsspp.ini"
...

With that set up, you could use an array or something else to hold the data, instead of the hard coded list as above. Though with the runtime evaluation of $PWD needed here, that's not as straightforward as it could be.

I don't see much benefit of the whole script.

If you don't add -f (force) or -b (backup), ln -s will fail with "File exists" error, so you could simply run and let it fail.

enlace="../../memstick/PSP/SAVEDATA/ULES01439"
ln -s "$PWD" "$enlace"

If you need additional information about the file type if it exists, you can add file "$enlace", e.g.:

ln -s "$PWD" "$enlace" || file "$enlace"