@jcplatz:
You'll need to tap-hold on the rom or .gba file you want to play, and then select gpSP on the list of programs... And then so that you'll never have to do it again, you can also check the option to use that program to open that type of file... And by the way, it won't open the game if you have'nt put the gbabios.bin on the same program folder, as it is needed by gpSP to work... It's mentioned that it's illegal to post the bin file so you'll have to search for them yourself...
Hope this helps!
Phone: Samsung Galaxy TAB