Not PSP, but cool: Play NES Games on XBox 360 with this Hack
Xexter on XBox Scene has figured out a way to run the NESCafe emulator on the XBox 360. From his entry:
I've attached a link to a version of NESCafe that works through Media Center on the Xbox 360.
This is currently setup to run at 480p (Widescreen). You can edit the
nes.htm file if it does not fit correctly on your screen. I haven't
found a way to add a menu for the roms list so you will have to edit
the nes.htm and change <param name="ROMFILE"
value="/roms/whateverrom.zip" /> to whatever Nes rom you want to
play. I've included a Public Domain rom for testing but have verified
Zelda1-2, Excitebike, and TecmoBowl and all worked.
Please do not ask for ROMs as they are quite easy to find (Google - "Nes Roms"). 
DOWNLOAD RAR: http://www.yourfilelink.com/get.php?fid=58730
INSTALL:
You will need to extract the rar into C:Documents and
Settings\All Users\Start Menu\Programs\Accessories\Media Center\Media
Center Programs\ on your media center box. It took a bit for the icon
to show up under More Programs but it finally will.
NOTES: Sound
is not functioning, Media Center 2005 is required. If it locks up you
will need to run something that warns you that it is a web page and
check the box that says "Don’t show this again". Once you do that it
should run fine. I created an MCL that just went to Google and then
checked that box. I've also attached an image with the mapping of the XBox Controller to the corresponding keyboard keys.
-X
Read the entire thread
here.