Installing custom firmware (CFW) is a matter of figuring out what model PSP you have (I have an original PSP 1000; aka 'phat PSP') and then finding an online guide (there are hundreds, if not thousands) for that specific model and how to go about installing the custom firmware. I'm using 5.50 GEN-B2, but the latest build is 5.50 GEN-D2. Sorry I can't help any of you as I haven't had official firmware (1.50) since early 2005 when I got my PSP at the North American launch - back then, we didn't have any security to go around to install CFW. Nowadays, people have to use exploits to find a way in.
The biggest PSP site is PSPISO (it was already linked to once in this thread) and that is the best resource for finding guides and all the needed firmwares (custom and official). Check it out... you'll have to register, but it'll be worth it. Here is the tutorial section: http://www.pspiso.com/forumdisplay.php?f=159
Just to help others out. QJ.net forums have a good PSP section and psp hacks is also a good website for all things CFW.