The PSP lacks native support for Sega Mega Drive (Genesis) cartridges or hardware. You cannot insert Mega Drive games into a PSP.
The most common method is using a Mega Drive emulator via homebrew:
Connect a real Mega Drive to a TV, capture the video output, transfer the recording to your PSP, and watch it—though this is not interactive gameplay.
For a simpler experience, consider playing Mega Drive games on a dedicated console, a computer emulator, or modern compilation releases.