To play on my PSX, what should I download and burn onto CD: PSX ROM or PSX ISO? Please reply as soon as possible.
your question should be 'what is the difference between ROM and ISO?'
An ISO is a disc image or archive file. You can create an ISO image from a CD or DVD. You can then use the ISO to re-create that CD or DVD, i.e. burn the ISO to a CD or DVD to create a copy (backup) of the original disc.
ROM essentially is the same, however, it is used to describe copies (or backups) made from cartridges or memory chips, i.e. not from a CD/DVD.
For an in-depth explanation, check out Wikipedia for ROM image and ISO image.
For you this means you can use either one to burn them on a CD/DVD and play them. The name just describes the source from where the backup was made.