Yup, everything Lomaxx said.
An 'iso' file will typically have the extension ".iso".
(The "extension" is the last word/ letters after the final . in a filename)
A .7z file is (just like a .rar, .zip file etc) a compressed archive that has to be unpacked, in this case by the 7z utility.
On your PC, create a folder with an appropriate name like "Metal Slug X", copy the 7z file into that and extract (aka unpack) it in there (if successful, delete the 7z file, it's no longer needed)..
You might already have suitable tools on the PC, if you rght click on the 7z file, see if an option like "extract here" or "unzip" appears in the list. If not, you'll need to install the 7z application to be able to unpack the file, as per the 7z link in Lomaxx's post.
When you've got it unpacked, just copy the whole Metal Slug X folder onto your Pandora SD card, not into the pcsx_rearmed folder but anywhere you want to keep more roms (ideally create a folder for the purpose in the root of the card perhaps). You can find the file from within PcsxRearmed, and it will remember where you last loaded a game from so it will always start from there when you go looking again
As Lomaxx says, for future reference - you can't run archived files (zips, rars, tars etc), you need to extract them first, they are just archived like that to make them smaller and to contain multiple files in a single one, more convenient for downloading.
Compatible game files will have extensions such as .bin/.cue (pair of files), .iso and so on, others use eboot, img and more - many of the previous Pcsx threads cover file types.