Once you have to download
SNES9X for PSP, then you transfer it onto your PSP Memory stick either via the usb port on the PSP, or a memory card reader\writer that supports memory stick pro duo.
The files should go in PSP\GAME\SNES <- or whatever you want to call it.
If you're using a PSP with the 1.5 firmware, download the
Kxploit tool to run it.