The year is 21XX. Reploids are commonplace now, after Dr. Cain rediscovered Dr. Light's old lab and based several designs off of Dr.Light's original, called "Megaman X." X, meanwhile, has joined the Maverick Hunters, and works with unit leader Zero under the command of General Sigma. It is their job to terminate rogue reploids, those who have become violent.
The Japanese title for the PSP game is Irregular Hunter X and was released on December 15th, 2005. The US title is Maverick Hunter X released January 31st, 2006. The Day of Sigma OVA is a short unlockable movie that you have access to after beating X mode once.
The OVA takes place before the events in Megaman X. Sigma had already been infected with Dr. Wily’s virus (ever since his encounter and fight with a berserk Zero, revealed in a flashback in Megaman X4). The OVA marks the turning point when Sigma finally declares his reploid war.