To put it on, go to you're Root of you're mem stick.
To do this, go to USB Connection. Once you done that, choose Open with Folder on this menu:
THen you should be on the root.
When you downloaded the sega emulator, there should be 2 folders.
Go into the PSP folder on the root, and inside if not, create a GAME folder in that PSP folder.
In the GAME folder, place the emulator inside. The emulator shouild contain two folders. One with a % sign and one without a % sign.
Put you're roms in the one without a % sign and you are good to go.