So, you want to get in on the PSP homebrew scene? This ought to get you started.
First your going to need a way to get files to your PSP, get a nice size memory stick and a card reader from the electronics store or get some online. Sandisk makes a 5 in 1 reader that reads almost every card out there, well, at least five of them. The price of memory sticks have dropped dramatically and a card reader is real cheap. They run you about $20. You'll need it to copy files over to the PSP and a place to store all of your software.
If you want to know how to start emulating old game systems on your PSP, go here.
If you have a mac, or just don't understand filing systems too well, go here.
My favorite emulator to run is DGen, a Sega Genesis emulator. It's pretty flawless and the speed is spot on. Games like Vectorman and Sonic run without a hitch. Brings back memories of thumb blisters and orange carpet.