NesterJ is a well rated emulator of the Nintendo Entertainment System designed for PSP. It basically brings back old school NES games on your modern PSP. The emulator is available for free, but do not expect any further updates, as it has been abandoned. A different version of it – using the same name – has been released in 2006 and aimed to fix a few bugs and implement wireless connectivity for multiplayer battles. That was the last time NesterJ has seen an update.
The installation is quite intuitive – download the file, extract it and copy the whole folder into the PSP>GAME folder. ROM images are not included in the package because they are copyrighted. Luckily, you can find most games over the Internet these days. Furthermore, in terms of features and settings, the capability to save and load games has been one of NesterJ's strongest points back then.