Ok I'll try and explain as best I can!
First of all you need the Picodrve.sis file, which you can get from here
http://www.fwrnando.com/files/picodrive_s60v3_135.sisYou can install this in a number of ways : Either use PC Suite or download it directly to your phone. you can install it to either the mass memory, memory card or phone memory.
Getting the ROMs on the phone is a little bit more of a pain in the ass
You can find them anywhere on the 'net, just use your friend Google to find them. Once you've got them you can either connect your phone to your PC in Mass Storage Mode and copy them on to the memory card or mass memory. Either way try and put them in the "others" folder so you know where they are and you can find them later on.
You can download them directly to the phone as long as they're in a zip file (your phone won't let you download any file that it doesn't recognise) and again store it in "others".
Once you've got your ROM, fire up the Picodrive! I would recommend configuring the buttons to your liking before you do anything else. When your happy, select "Load ROM" and look for the others file. Again a heads up; The E:/ drive is your Mass Memory and the F:/ is the memory card.
Select the ROM and click ok. It may take a while to load but be patient

and away you go!
Any problems, just ask!