I got tired of having to explain how to speed up uo_snes9x in IRC, so here you go, a complete, descriptive guide for you simple folks.
The following guide will aide you in fixing uo_snes9x's performance to something that is playable.
1.) Load uo_snes9x, and run your favorite ROM.
2.) Gain access to the menu by pushing the analog stick to the left.
3.) From the analog menu, you're going to change frameskip to either 01 or 02, whichever suits you best. (this is the deciding factor in your speed, lower values make for slower speeds, higher makes for faster)
4.) Make sure autoskip is turned ON, VSync is turned OFF, and you may turn on the FPS (Frames Per Second) display if you'd like.
5.) Now you're going to overclock the PSP CPU to 333MHz. Overclocking will not damage your PSP in any way, it will only drain the battery faster.
At this point if you'd like to change frameskip while playing, just push the analog stick up to raise the FrameSkip, and push it down to bring the FrameSkip down.