Instructions
Turn on your Sony PSP and wait for it to boot into the PSP menu. Locate the "Playstation Store" icon all the way on the right of the PSP menu and select it.
Select "Themes" from the Playstation Store main menu and browse the available themes for the PSP. These themes will change the icons and/or the wallpaper of your PSP display.
Select one of the themes and select "Download" to install the theme on your PSP. All the Sony PSP themes are free, so install as many as you like.
Go back into the PSP menu and select "Theme Settings" from the PSP menu. Select your theme to apply it. Your icons will now change to the color specified in the theme information.