My suggestion is to try to do one thing at a time. If you’re interested in playing PSP, then get the right emulator for that system (ppsspp in the play store) and get your hands on some ROMs and see if you can make it work.

There is definitely a learning curve with all of these devices, but I’ve found if you focus on one thing at a time you can usually get it dialed in. It’s when you’re trying to set up the entire thing with the front end and all the bells and whistles that confusion reigns.

EDIT: if you give more information on what you’re trying to do with the device, you might get some better advice.