Quick tutorial:
1) Settings -> System Settings -> System Information
If your 'System Software' is 1.00 or 1.50, your PSP is homebrew (emulator) compatible
2) If your PSP is 1.50 (most likely is) you will need to download KXploit (unless the game already comes in 1.50 format - 2 directories in PSP/GAME/ - one with a % after it and one without.)
http://psp-dev.1emulation.com - tutorials there on how to use it
3) The readme with the emulator will be self explainatory, you will be required to make some directories and stuff.
Hope it helped
optimus, someone should really make a sticky in general discussion on how to use homebrew for those who dont know, theres always going to be new people and all the old tutorials and stuff are lost near the beggining and a lot of people wont use search (not accusing you Galvan, you already said you tried

)