There are several ways that you can update the firmware on your PSP.
If you have a network connection, you can update directly from the PSP itself.
If it powers off while it's updating, it can be a nightmare to fix it.
Keeping your PSP's firmware up to date is important if you want to take advantage of all the neat features Sony has included.
Follow the update instructions and let it do its thing.
source Place the update file "EBOOT.pbp", inside the following folder on your PSP: PSP/GAME/UPDATE/If it's a PSP Go, place it in the system memory, not on the memory stick.
With a PSP, in order to update the firmware, you have to follow a couple of steps.
Read the instructions for each if you're not sure, and choose the one that fits best for you.
The most straightforward way to update your firmware is by using the "system update" feature on the PSP itself.
PBP in the folder PSP/GAME/UPDATE - it is important the the folder names are ALL CAPITAL LETTERS.
Then, with your PSP charged (and preferably still plugged in to avoid battery glitches), go to the games section, select Memory Stick and then select your update.