yeah, you have to jailbreak it through a type of battery that could be altered into what was called "pandora's battery." When that battery is placed in the psp, you can power it on in a kind of safe mode that gives you the option to load up the custom firmware that allows the use of emulators and other programs. Such a service shouldn't cost you more than 5 pounds. Check on craigslist.
I had a real hard time with it at first but it's simple really. Get a BIG memory stick if you need a bunch of Neo games on it at one time. They take up a ton of space. As do CPS1 & CPS2, but not quite as much. I have hundreds of SNES, Genesis, GBA and Turbo on a 1GB but only maybe 2 dozen MVS &CPS games on a 2 GB. I just keep all of them on my PC and transfer them over when I want to play.