Instructions
Download the SNES 9x Emulation software for the PSP to your home computer. This emulation software allows your PSP to read SNES ROMs, the games' file type. (See Resources for a link to the software download page.)
Unzip the files in the SNES 9x Emulation software folder. Right-click on the folder and extract the files. Then double-click into the folder you unzipped, highlight the two folders inside the folder and copy the folders. The two folders will have similar names, but one will have a percent sign after the name.
Connect your PSP to your computer. The two systems can be connected with a simple USB cable. Turn your PSP on and choose the "USB Connection" option on your PSP and the gaming system will be treated like an external hard drive by your computer.
Select "My Computer" from your start menu and open the PSP drive. This will open the contents of your PSP. Double-click on the "PSP" folder to open it. Open the "Game" folder. Paste the two SNES Emulation folders that you copied into the "Game" folder.
Download SNES game ROMs. Many popular SNES games are available on ROM sites like Rom Hustler and CoolRom. These sites have a one-click download. Just click on the name of the game and save the file to your computer.
Copy the SNES ROMs that you download to your computer into the SNES Emulator folder without the percent sign that you pasted into the "Game" folder on your PSP. Once these ROMs have been added to your PSP, they will now be able to be read by the emulator.
Disconnect your PSP from your computer and find the Emulator and ROMs on your PSP. Both the emulator and the ROMs will be on your PSP's memory stick. When you find the emulator, press the X button on your PSP to run it. Scroll through the ROM list to find the game you want to play. Press X again to start the game.