First off, anything you download from pspbrew won't work. Our downloads are down. Go to
http://dl.qj.net/PSP/catid/106
Just to make sure we're on the same page, what firmware are you running? The only Sony firmware capable of running homebrew/emulators is 1.50. Outside of that you must be running a custom firmware. If you are on a Sony firmware higher than 1.50 but lower than 3.50, you should downgrade to 1.50 and install a custom firmware. You'll find tutorials for this in our tutorials section.
As far as extracting files, try using
WinRar.
Ironic, we have a winrar tutorial also.
http://www.pspbrew.com/forum/viewtopic.php?t=7719
When it comes to emulators, you should end up with 2 folders... usually "something" and "something%". If you have a custom firmware you probably have a GAME150 folder. That is where you would put these 2 folders. Usually roms will go in the something folder (the one without the %) in a folder titled roms. This is dependent on the particular emulator, and information should be in the readme about this.
Finally, don't ask on the forums about where to get roms. However, if you PM me I might be able to help you out.