PK201 is a PocketStation emulator.
You'll need a Kernel ROM, renamed to KROM, dumped from a real PocketStation - the one that comes with PKEmu, or that is easily found online, is a bad dump and may result in compatibilty issues. You also need Xebra to download the PocketStation game to a memory card from a PS1 game. Once you've done that, copy the memory card that you used - either BU00 (Memory card A) or BU10 (Memory card B) - rename it to FROM and put it in the same directory as KROM and PK201.exe.
1) Download both Xebra and PK201.
2) Put everything in a folder together with respective FROM, KROM and OSROM files.
3) Run PK201 and do the initial setup, select File -> Save STAT and close it.
4) Run Xebra, select whatever game you like, then select Run -> Run-1/2/3 to start the game.
5) When in game, select Run -> Outer Card to start PocketStation emulation.
6) Enjoy your Chocobo Worlds or whatever.
Pocket Alpha / Zero 3 (Street Fighter Alpha / Zero 3), Pocket Digimon World, and Pokerock 1-6 (Rockman Complete Works) do NOT work without a good kernel dump.