Update the firmware of your PSP

It is recommended to update the firmware (system software) your PSP to correct bugs, faults, improve and add features and to play new games and more.

To check the firmware version, simply go to [Settings]> [System Settings] and select System Information to view the current version of the software system.

There are two methods to update their PSP, they are:

Updating via network

This option allows you to update the firmware through a wireless Internet connection. It's automatic and is the simplest way to update your PSP

Update with a PC

• Download the new firmware EBOOT.PBP http://www.us.playstation.com/support/systemupdates/psp
• Connect the PSP to the PC using the USB cable supplied with the console purchase.
• Turn on the PSP and go to Settings> [USB Connection] on the home menu, then press the X button to activate the USB mode. The PC should recognize the PSP as a USB stick / external hard drive.
• Open the disk (in the desktop, choose the drive for the PSP), create a folder PSP. In the PSP folder, create a folder in GAME and the GAME folder, create a folder UPDATE. Save the file EBOOT.PBP in the UPDATE folder. For example, if the PSP is recognized as drive F in the job, the location is F: \ PSP \ GAME \ UPDATE \ EBOOT.PBP
• Disconnect the PSP from the PC. Connect the charger to the PSP imperative.
• Press the Circle button to exit USB mode, go to Game> [Memory Stick].
• Press the Cross button.
• Select the update and confirm the Cross button.
• Follow the onscreen instructions to complete the installation.
• After the update, you can delete the file EBOOT.PBP.

Note:
For more info: http://playstation.com/help-support/psp/system-software/updates

If you have an unofficial firmware, it is possible that the official update does not work.