Playing PSP Iso's with CFW (MHP3)?

I may sound like an idiot, but I do not care at this point. I have installed some custom firmware onto my PSP (fat). I have 5.50 Prome-4 on it now. From here, I don't even know how to play games on my PSP. I have read about UMD Emulators, but I thought that differed from CFW so I didnt bother with it, but do I need that too? Also, maybe the other answer will asnwer this, but I downloaded a Monster Hunter Portable 3rd Iso, and it was in 4 parts. How would I even put that onto my PSP/play it if it was divided like that. Please help, I'm very new at this!