One individual has apparently managed to run Windows 95 and Linux on his PSP by porting the open source x86 emulator Bochs to the device.
"Windows 95 actually runs quite well but don't expect it to be a speed demon. It takes about 10 minutes to boot but afterwards it's pretty usable. I was able to do things like: open My computer and browse the virtual hard drive, complete a whole game of Minesweeper and run various other applications. Now you too can get your Minesweeper fix on the go."