@itssmeeYou have to have a hacked PSP firstly. If you don't, try searching for guides to mod your PSP. If you have a low version PSP (meaning you haven't updated it often), it will be much easier to hack it.
By the way, you won't have to open up your PSP when modding it, it's not that complicated:PSecond, once youhave it modded, update to the highest M33 version (that's the modded version, I think the highest is 5.01 or 5.00 right now). Then, create a folder on your memory card thats called ISO and stick the Metal Slug file in that folder. You should be able to play the game now.If you need help, there's plenty of guides online.
Google is your friend:).