Windows 95 on PSP is a "proof of concept." It is not fast enough for modern gaming, but it can run classic apps like Minesweeper or WordPad. To help you get the best experience, let me know: Which PSP model are you using (1000, 2000, 3000, or Go)?
: Extract the DOSBox archive to your PSP's memory stick in the directory ms0:/PSP/GAME/dosbox/ .
To make this magic happen, the community turned to a trusty emulator: .
If you want a faster experience, the DBS (DOSBox Boot System) tool can boot Windows 95 in roughly two and a half minutes and includes a simplified boot menu. PSP DosBox Setup! (Running Applications & Games)