Gruso - that PSP article you linked to does make it sound oh so easy. But it's not.
Notice the "V1.0 Sony PSP" quote at the top - it's pretty much impossible to get hold of a V1.0 PSP now, as Sony regularly updates its firmware.
To enable homebrew, including emulators etc. you have to downgrade your PSP using a pretty tricky method to create what is known as a Pandora battery and Magic Memory stick, which can easily cause your PSP to become a "brick" Following careful instructions and a Tool battery, it's easier, but still risky.
Thankfully the GP2X suffers from no such hardships - just grab an emu of choice, and a load of ROMs, slap them on an SD card and you're laughing (pretty much) all the way back to yesteryear and the games we all played in our youth.
It is a piece of cake. A great big piece of chocolate cake