@retroB-0 I think that ScummVM needs an existing installation of the game to run it, not sure if it supports running from an installer iso/disc (where the files needed are not extracted by the installer and possibly packed/compressed).
No, if the folder doesn't exist, it means that you didn't install a PSP emulator - use the RetroPie Setup entry in EmulationStation to install the ppsspp emulator and the folder should appear automatically.
Take a look at the PSP emulator page to see what are the supported game extensions and what emulators are available.