Hi there.
Mostly it's very easy, simply plug the gp2x into your usb port using the provided cable, and it comes up like a removable drive, just like a usb flash/pen drive.
You will see several directories, emulators are best to go in the game directory, as this is the directory that will pop up when you press the game icon on the main menu.
Simply unzip the downloaded file into that directory, normally it will come with a directory that you can put your roms into for that emulator.
Some emulators might require a bit more work but there is plenty of support on this forum if you need help.
Ben