Go to a trusted homebrew repository (like GameBrew or the official GitHub of the emulator). Download the emulator folder. It will usually be a folder with an EBOOT.PBP inside.

But is there really an official Nintendo Mario game running natively on Sony hardware? The short answer is no. However, the long answer is far more interesting.

Connect your PSP to a PC via USB. Copy the emulator folder to /PSP/GAME/ .