Connect your PSP to a PC via USB. Copy the emulator folder to /PSP/GAME/ .
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. Super Mario Psp Iso
Take your legal game cartridge, use a hardware dumper (like the Retrode or a DS flashcart) to extract the .nes , .sfc , or .gba file. Connect your PSP to a PC via USB
You need to mod your PSP. For modern PSPs (6.61 firmware), use "Infinity 2.0" + "PRO-C". This takes about 10 minutes. Download the emulator folder
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.
Forget searching for a fake ISO. Buy a cheap PSP-3000, install CFW, download a legal ROM of Super Mario World , and enjoy 40 hours of platforming perfection on Sony's legendary machine.