After having tested several emulators, the best one for me is Uo Gpsp Kai 3.3 Test 2 Build 13 released on 01/05/2009. (find it at dl.qj. net)
As long as you put the roms decompressed they will work. I've tried 115 diferente roms so far and all working great. And, unlike gpSP, you can play with full screen 16:9. :-)
I love it !