The best emulator to emulate the PSP is called PPSSPP. It can be found here.
The PPSSPP directories are structure identically to the PSP. Extract the UMD into an ISO if you haven't already, patch it with the DATA.cpk, then put it in a folder called "ISO". Actually you can put it in any folder, just as long as you can navigate to it inside PPSSPP, but calling it ISO would be the easiest.