It all depends on which emulators you want to install. Most go in the /PSP/GAME folder.
EXAMPLE TIME! Lets use snes9xTYL snes emulator.
When you unzip it, you get the following folder /snes9xTYL0.4.2me_fw3x.
It has a read me file and a folder that is called /snes9xTYL.
COPY THAT ENTIRE SNES9xTYL FOLDER TO PSP/GAME/ and you my friend are golden like the shower.