Instructions
Download the Snes9x PSP installation file from the developer's site or from one of the many different download mirrors available.
Insert the PSP's memory stick into a computer memory card reader, or connect the PSP's USB cable to the computer.
Double-click the PSP memory stick icon on the computer's desktop. All of the folders saved on the PSP memory stick come up.
Right-click the Snes9x installation folder and click "Copy" from the context menu that comes up. Right-click the "GAME" folder on the PSP memory stick which can be found inside the "PSP" folder.
Click "Paste" and the Snes9x folder is saved onto the PSP memory stick.
Pull the PSP memory stick out of the card reader and insert it into the PSP's card reader, or disconnect the USB cable from the computer.
Select the Snes9x icon on the PSP main menu to start the Snes application on the PSP.