Before my days of soft-modding and then hard modding XBOXes came to be, I dabbled in PSP modding. I bought a PSP in may 2005, shortly after they came out and have been very interested in PSP modding: developments, homebrew and custom firmwares. I found it fascinating just how much potential the console had that was being choked by stock firmwares. The mass of incredibly useful applications and plugins is staggering from plugins to regulate the CPU clock speed to increase battery life to a music plugin making it so you can listen to your own music anywhere anytime to a video-out through USB plugin that made it possible to play your PSP on a computer screen using a different controller. Then there were the homebrew apps like emulators which tripled the PSP's usefulness IMO and addicting little games like Rubik's Cube or SETGool. Or programs that could double the memory of the PSPs internet browser or programs that could make use of Google Maps (+directions) in real time or programs that could make the PSP act as a wireless FTP server. Then there were apps like iRShell which completely replaced the official sony XMB (and could even run alongside it in real time) which gave the system even more functionality like two-player wireless PS1 games, which sony was dragging its feet over. And with the advent of Custom Firmwares brought to the table the ability to copy and convert your physical PS1 game disks to digital PSP-ready Eboots. Even now developments in the PSP scene are continuing to shatter the community's image of what the PSP is capable of. Back when it began MPH's ISO loader was amazing and DevHook was all the rage, but then a certain somebody gave us Custom Firmwares which would irrevocably launch the system into realms of usefulness not even Sony could have predicted. And all these things I've listed is only the Tip of the Iceberg.
It appears that some of the topics in this board are a little outdated and it takes a long time for anybody to reply so before coming to myself for help, I suggest going to PSP-Hacks.com. That is the forum I have regularly attended for quite some time and where I learned to hack 3 of my PSPs as well as many many friends' PSPs (always free, of course).
So if you're having trouble figuring out how to mod your little handheld in the first place / how to run whatever homebrew app / how to customize the XMB or whatever feel free to send me a PM on X-S and I may be able to help you. And of course check out PSP-Hacks. My alias there is Scotch