Ahmmm, that FAQ! I never read it because it was closed; some time ago i ask hyakki to re-open it but then i forgot to read hahahaha.
Anyway, you are doing the shortcut wrong. Do this to try run the Cube.ISO:
1. Create a folder for the game you want to make the shortcut.
2. Extract JPCSP there and configure it.
3. Put the game image on the UMD folder because will be easier to locate it.
4. Go to the file "start-windows-amd64.bat" or x86 according the version you use.
5. Right click -> Edit (With Notepad or some text editor)
6. Locate the main executable line and add the commands you told me; should be like this:
7. Save the batch file, close it, right click->Send to: Desktop. Once there, you could rename it whatever you want and also change the icon.
Finally, you could change the patch where the game image is with normal commands, but like i say, is easier keep the game image in UMD folder. Also,
remember to keep the spaces between the -u command and the image directory.