Not sure how familiar you are with homebrew, but if your trying to run this emulator directly from your PSPs game menu it will not work, nor will any homebrew on your firmware.
Only 1.0 and 1.5 can run homebrew directly, on 2.6 you will need a copy of GTA: liberty city stories and the 'GTA Eloader'
http://www.dcemu.co.uk/vbulletin/sho...threadid=21672
This works by having you load GTA, choose a certain save file and then the PSP will boot into a menu for you to choose homebrew apps from. This is complicated but is the only way to get access to the hardware on higher firmware PSPs at the moment.
You could also look into downgrading your 2.6 PSP:
http://www.dcemu.co.uk/vbulletin/showthread.php?t=28007
Hope that was of some use to you.