Get the latest PSPE, vers 0.9b. Make sure you have at least v1.2 of SDL.dll
Create a folder C:\PSPE
Into it goes the emu, MENU.png, SDL.dll, font.c, and the various readme files.
Create some folders like this: C:\PSPE\ms0\PSP\GAME.
Now while in this folder, create some folders to put your games into.
The doco that came with the game will usually tell you what to call it.
For example for Doom, the folder must be called DOOM-PSP.
Now into this folder goes the EBOOT.PBP that you downloaded, together with any extra files needed by that game.
For the game called Scorched, you will have the folder C:\PSPE\ms0\PSP\GAME\Scorched, with the file EBOOT.PBP in it.
Now start PSPE, and you get a menu with items, one for each folder under GAME. Select the one you want with the up/down arrow, and press Enter. The game starts. I can't remember exactly what key does what in the game anymore, but I think the W,A,S,D, shift keys, F1, F2, and arrow keys did something.
Next, some games don't work, since PSPE only runs about 50% of stuff.
For example if you run the emulator RIN, only v1.0 works, all the later ones have problems. That's because it's made for a real PSP, not our poor PSPE.
Lastly PSPE can only handle 30 folders, any more and it crashes when you you try navigating through the list.