Instructions
Power on your PSP device and scroll to the far-left side of the XMB menu screen and highlight the "Settings" icon.
Navigate to the "Set Password" option in the "Settings Menu" and press the "X" button on your PSP device. If you already have a password in place and you want to change it, the option will read "Change Password" instead.
Set a new four character password using the keypad on the screen. You can choose from a series of numbers, letters and symbols. Once you are finished, press the "Start" button on your PSP device to save and apply the new lock on your PSP.