Instructions
Select the "System Update" icon on the top right of the PSP's XcrossMediaBar (XMB) menu.
Select "Update Via Internet" from the new window that appears. Select the Internet connection that you want to use to download the system update.
Select "Yes" from the next window to agree to the download and installation terms.
Press the "X" button to install the new PSP update when the download completes. The PSP will be updated, along with the PSP's flash.
Press the "X" button when the update completes to reboot the PSP. When the PSP turns back on it will be running the most up-to-date software and flash player.