First of all, you'll need a custom firmware ^_^
*I'm assuming you already have a custom firmware*
Also, which mario you want to play ??? o_O
If your mario game is on snes, you'll need the rom and an snes emulator for the PSP ^_^
You'll get the snes emulator HERE (Although the emulator the emulator is for PSP slim, it will also work on PSP classic the same way that it works on slim)
OR
If your mario game is on GBA, then you'll need the rom and a GBA emulator for the PSP ^_^
You'll get the GBA emulator HERE
NOTE : If your mario game is on both snes and GBA, then use the GBA one because the GBA games work full speed on the PSP while snes games work a little slow on the PSP ^_^
My (+[__]%) life - HERE :)
*Why do I take it all ??? Why do I beg for more ??? I never thought that this is how I Hit The Floor* Bullet For my Valentine darn rulez !!!! \m/ ^_^ \m/
Guide on how to use popsloader : HERE / Working and non-working pandora batteries : HERE