As far as isos go... place isos in the folder labeled iso (you can save space if you convert to cso first with a program like 'pspiso').
Now this is also crucial (at least for me and everyone of my friends psps that I have modded)... the psp games wont work until you go into the m33vsh menu (press select when at the xmb) Go down to UMD ISO mode and change it to Sony NP9660. This makes every game work for me. Then go to exit and leave. Now you should be able to play the isos (I only have 3.90 m33-3, so I'm not sure if this is the case for every cfw. If you don't have 3.90 m33-3 I suggest you get it. Awesome).
As far as emulators it really depends. Picodrive (genesis) goes directly in the psp/game folder. Snes9x goes into the PSP/GAME350 folder and NES goes into PSP/GAME150. If those folders don't exist for you, then just make them. Also, make sure you have all of the proper kernels and the most up to date emulators for psp. This site is chock full of links, just look for someone that has them all (the psp emu pack) in a link embedded in their sig.
As far as PSX, use easy popstation and change your psx files to eboots with keys, put them in a folder, name it correctly and place it right in PSP/GAME. Then (to get them to work), download the popsloader pack (there are a few links here to complete packs). Put the seplugins folder at the root of your psp. Then go into your recovery menu: Turn off PSP, then hold "R" and the Power Switch until it comes on and then comes back off. Do it again (holding "R" with the power switch up), and you will be in the recovery menu. Scroll down to plugins, enter it and turn popsloader on (enable). Then exit the RecovMen, restart psp and now you can play psx. Remember (this was a crucial step for me), if games are not working past the startup screen, hold "R" as you start them (before you push "x" on the xmb). This will ignite popsloader and allow you to change which one you use. This has worked for me with every game except Blaster Master: Blasting Again, so it should work for you.
Make sure you get all the necessary kernels and if you're not on it already start using 3.90 m33-3. It works really well for everything.
Oh yeah... if you want MAME I have no answers. I can get it going, but none of the roms work for me

If you figure it out, hook a homie up!
Hope this was helpful.