Well, the best place to do to run an EXE would be dosemu, and port it over to the PSP. The biggest problem with trying to run a DOS .exe is that they tend to be very keyboard oriented, which the PSP simply is not.
But if you have a killer .exe that you want to run, then dosemu would be my first choice. (it's be best if it worked in a few megs of RAM too). I understand that Windows 3.1 might even run in dosemu.
Wine (Windows Emulator) would be way to RAM intensive to consider porting.
- HardHat
Not only a user, but also a developer.
My PSP Homebrew (including Open Gladiator RPG)