Well first we need to know what mario you are using, is it the actual SNES rom you have. Or the mario eboot you downloaded from PSP3D?

If its the SNES rom you need to place it in your game folder on your mem stick and then when you boot the emulator it should let you see it.

If its the eboot you place it in the game folder to with your other eboots. The reason you see a folder called tetris in there, is because the games were based on the Tetris homebrew from fanjita.

If you have the mario that was released before the eboot loader thats a whole different story and may be why you dont see it in the eloader menu.