An actual free homebrew Cave Story PSP port is now in the works by one ufo_z's. He says "This is the preview version that I sent to Pixel, so it's mostly guesswork and buggy and certainly feels different from the original. Playable up to the first boss fight. Dual-language English and Japanese :) Tested on 3.10, should work unmodified with most custom firmware."
Follow the link for a download.