Disclaimer : This information is for educational purposes only. DigitalBauble does not have any liability on the illegal usage of such.
1.) download the emulator at this site http://www.emulator-zone.com/doc.php/psp/forthepsp.html
2.)extract the file using winRar or winZip.
3.)plug your PSP into your computer and copy the folder (from zip file) to PSP/Game or PSP/Game15o. (it depends on your firmware)
4.)Download your favorite games at these sites :
5.) Extract the roms as well if they are zipped and place it into the ROMS directory of the emulator itself.
6.)You might want to try other emulators on the first site i've cited and explore with many possibilities. Just post a comment if you need further advice.