It is my understanding that emulating the NDS is certainly do-able, but that GBA can play most games at full speed. You will need an iso of the game also (assuming you own a commercial copy, you should check online at romhustler etc). I am not interested in this myself, so I cannot tell you how to set-up the mem stick, but I think these vids below will give you a start.
Sorry I couldn't help you further.
Here is a vid of pokemon white/black on a psp go.
Playing Pokemon White (or Black) on PSP Go - YouTube
And some tutorial (that I didn't watch, but lead into many other tutorials should they be insufficient.
GBA emulator on PSP - YouTube
DS on PSPGo/ANY PSP No CFW - YouTube
How To Play GBA On Psp/Psp Go OFW 6.31-6.60 W/O CFW!! - YouTube
How to put Emulators and Roms on PSP - YouTube