1. Would you guys/girls be able to help me in getting going? We can try.
2. Is it as difficult as I think? Depends on your definition of difficulty. The workflow to emulate a game is usually: copy the emulator that you got in the archive (http://archive.gp2x.de) and the collection of games that you got elsewhere to a folder in a SD card; switch on the Gp2x and select the emulator; choose your preferred game. Emulators work in PCs as well, so in order to get a taste install and use an emulator in your PC. It is as difficult as in Gp2x. They usually use the same game files (called "roms") as well
3. How large in file size are the games, say Street Fighter on the SNES I don't care about the downsized version of Street Fighter on the SNES, since the original and much better arcade game works on several other emulators. It's about 3MB. A typical SNES game like Super Mario World is 0.4MB (400KB), although SNES has games as large as the 9MB of Star Ocean, being 1MB the average. All emulated platforms follow these numbers, more or less.
4. Has anyone bought from Play Asia and shipped to the UK? Little help here, but I think that at UK you have a local store that sells Gp2x. Keep it local, you'll save the environment. If you prefer to save some bucks, keep in mind that if problems show up they will be much more expensive to solve if you bough in Play Asia.
5. Five? I didn't ask that question. I know, but maybe you missed that the Gp2x is plenty of great games apart from emulators. Most of them are freeware and some commercial jewels. These games are even easier to install than emulators: just copy the game in the SD. And there are no legal issues with them
6. Six? You sucks, man. Apart from games, the Gp2x is perfect to watch movies on the train/bus. Although advisable in order to save battery, you don't need to recode your videos for the Gp2x: just put them in the same format that you purchased/downloaded from the Internet.