Or if the "UPDATE" folder isn't there (if you've never updated with that memory stick), just make the folder, put it in the Game directory, and throw the 6.20 eboot in it. It should show up in your games and then just run it.
Also, if all you want to run is emulators, a lot of them have "signed" versions and don't don't even need a Hen or CFW to run. Of course, if you want to play PS1 games, you'll need to run a hen.
Here's a link to some signed homebrews (some of which are emulators):
http://wololo.net/talk/viewtopic.php?f=2&t=1879
And then there's good old HBL, which is signed as well.
I'm still on 6.20 and using TN-E with my 3000 model. Works great for the most part. Except that certain game collections on PSP (Capcom Classics, Power Stone, Dracula X chronicles, and a couple others) don't work with the ISO loaders. I may switch to the 6.20 Pro at some point, but I have a 1000 model with CFW too for my problem games.
...just another lost soul...