unzip the actual iso file, put all of those files in a folder called /XXgamenameXX/ and then put the mp3 files in a folder called /neocd.mp3 (yes with the .mp3 extension)

so if you are using the game tetris you would have

psp/game/neogeocd/tetris ( where the unziped iso is)
psp/game/neogeocd/tetris/neocd.mp3 (where the mp3 files are kept)

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