First of all, to install or use your psp theme, you have to upgrade your PSP firmware to version 3.70 or higher. This would let you change the background image / wallpaper, as well as all the icons on the menu. I hope, that's clear. No chance to install theme without 3.70 or above.
Once you get your firmware updated, go find and download any PSP themes from the web (lots of them are available freely) and upload the .PTF theme file on your memory stick inside PSP> THEME folder. Now go back to your PSP, go to [Settings]> [Theme Settings]> [Theme] and then select one with [X]. Click APPLY. Select YES when it aks for overwrite confirmation. Now enjoy your PSP theme
