I believe you have to have:
1. a popsloader that can match you firmware
2. The psx you want
3. Put the psx in the game folder

This is what i did to play MGS and it worked, im sorry i cant check for sure exactly what i did (psp is at a friends house at the moment) but i think that is generally what i did to get it to work. Im sure there are tutorials for this if you search them in google or just wait for someone to post one here.