Making the magic memory stick is one of the vital first steps involved in hacking a PSP. This video will walk you through the on-computer part of the process, creating the magic memory stick itself. The steps are very easy to follow, and should have you playing all of the homebrew PSP game you can imagine lickity split! All you need are these files.
Note: This will work on any fat or slim PS3, but not the PSP 300 or PSP Go. If you have one of those, go get an older used one if you want to try this out.