Yes, this is possible.
You need:
- gpSP v0.9:
http://www.psp-hacks.com/file/951- GBA BIOS:
http://www.mydatabus.com/public/adw888/z/gba_bios.bin- Pokemon ROMs (these are the actual games), I can't link to them here as it's against the rules, but a Google search should find them easily
Install gpSP v0.9 like any other homebrew; copy the "gpSP" and "gpSP%" folders in the "gpsp09_150" archive to "ms:\PSP\GAME150\".
Copy "gba_bios.bin" to the "gpSP" folder.
Copy the ROMs to your memory stick (I don't think it matters where, but if you put them in "gpSP" as well then it should definitely work).