Shylph has just released a NeoGeo CD File selector for use with PSP emulation. Below is a rough translation of the readme.

Rough Translation of Readme:

NEOCD File Selector
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http://blog.goo.ne.jp/shylph-cheat/ Shylph
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the file which is selected is superscribed in the PSP/GAME/NEOCD/NEOCD.ZIP of the memory stick. Please leave the NEOCD.ZIP beforehand. This program has used the source of the GBFileSelecter. Writer of the GBFileSelecter, appreciating, it increases!

You can get this file from our PSP downloads section here.

Thanks to Zerox for the news!