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Hah, Xbox. It can't even do N64 decently, sadly.

Start off with kupomogli's link - for programs (emulators, really) go here:
http://wiki.gbatemp.net/wiki/Emulation_on_PSP

Personally, I can recommend picodrive (Genesis/Sega CD) Masterboy (Gameboy/color, master system) NesterJ 1.12 AoEX r3 (NES) (other one also works well) and Snes9xTYLmecm 11-27-09 MOD r23 (SNES). Once you have CFW, use USB connection to transfer all the emu files to PSP/GAME. Make a separate folder for each emu, once transferred and CFW is active, you're gonna see them in the game section of the XMB.

Too lazy to speak of more things now.