You'll need to install a Custom Firmware on the PSP to be able to run custom software (like PSPUAE).
The newer PSP-3000 models although they have a better screen, are currently not hackable. Try locating a PSP-2000x model as both 3k and 2k should be in the market right now.
The way to install a custom firmware is a whole chapter on it's own. Nothing hard, but can take a while. Easier if you have a friend with an already hacked psp.
