I need to win the lottery.
You help me with my problem & I'll help you with yours
Please don't expect people to do all the work for you..
1) Check in the emulators section here.
2) Download PicoDrive with MegaCD/SegaCD support.
3) Extract the contents of zip file to your desktop.
4) Read the ReadMe file included to learn how to use.. Alternatively check the GP2X wiki page of the emulator.
5) Repeat steps for everything else you want to try out, changing the section of the downloads site as needed & which program you need.