I think you put it in the same dir as the emulator itself, still the readme file should tellyou..
oh hear ya go , ripped right from the readme:
Installation:
1. Place the "gpsp.gpe" and "game_config.txt" file in a directory on your SD
card used with the GP2X.
2. Place your GBA BIOS in the directory from step 1. This file must be named
"gba_bios.bin" in all lowercase as shown, so rename it if needed.
-- NOTE --
There are two commonly available BIOSes - one is the correct one used in
production GBA's worldwide and the other is a prototype BIOS. The latter
will not cause some games to not work correctly or crash. If you attempt
to use this BIOS you will be presented with a warning before being
allowed to continue. This screen will give you a checksum of the real
BIOS image (see readme.txt for further information).
3. Place your GBA games in the directory from step 1. These files should have
a ".gba" or ".bin" file extension. Zip compressed games should be supported
and are recognized with the ".zip" file extension. Note that 32MB ROMs will
probably not run if zipped. 16MB and smaller should be OK.
4. Done. Run gpsp.gpe.
