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First find out how to hack your PSP so it can run homebrew applications. Then download the SNES emulator for PSP. Now go to any torrent or ROM site and download any of the games that you want. Load them on to the PSP and have fun!
NDS Homebrew Hive.
Yes, the PSP can connect to the PlayStation Network, where you can purchase and download games.
You must use a homebrew enabler like chicHEN
If you're asking whether you can play UMD games in PSP GO, the answer is, no you can't.There's no UMD on the PSP Go. So you can only download games and play them on the PSP GO.