Thanks for the link (RapidShare), Murdock!
DOSBox is awesome now I can play classic DOS games on PSP like Mario, Super Angelo, Wolfenstein 3D, Spear of Destiny and lot more.
When I tried loading Alien Attack, Space Invaders clone, I got a BSOD. Wolfenstein 3D works OK though, but runs a little bit slower than on DOSBox Build 1.07.2007.
I set 3000 CPU cycles and 32 MB of memory in dosbox.conf.
Is it right? My PSP is 333 MHz and 32 MB of RAM.