I finally got to play a Mario game in my PSP and it is Nintendo 64’s Mario. But the ROM games need an N64 emulator that would work in PSP. Luckily, a certain group created an N64 emulator for the PSP called Daedalus 64. It is open source that also works in Windows.
Once you finish downloading Daedalus, installing it is a piece of cake. Extract the compressed file place the extracted folder in the /PSP/GAMES folder of your PSP’s memory stick.
The Daedalus folder should have a ROMS/ folder where you can place all N64 ROM games there. The games are not very big. I got my Mario game at only 8MB. Very small.
I have not experienced any lagging when I played it. In fact, it was pretty fast.