I suspect hes talking about the CD that Craig sends out with the gp2x's sold from gp2x.co.uk. I got one too, they've got early versions of emulators on them. As well the quake and hexen ports.
*cough* Firstly, do you know what roms are? These are the actual games that go into rom folders, if you already know that, sorry to be patronising, cool. Otherwise you need to know about them first.
I'd concentrate on just getting one Emulator running first, before trying anything else. DrMDx is probably the easiest one to get going as a starter.
DON'T just copy all the stuff off the CD you got onto your SD card, this wont do anything.
Get DrMDx from the file archive on this site and read the readme all the way through.
And also, do you have an SD card reader or are you connecting your gp2x to your pc via usb?