It won't play commercial roms, but it should work for the other stuff, although it has a tendancy to just close by itself sometimes.
Make sure you have the correct folder setup, that is:
C:\PSPE\ms0\PSP\GAME\name-of-game-folder
The PSPE executable goes into C:\PSPE
Start it up, use arrow keys to scroll up/down through the games list, press enter to play.
After that, it uses different keys such as D.