Note that all of the folder names need to be capitalized or else it will not work.
Unfortunately, it’s not as easy as double-clicking an EXE file and watching the magic happen.
With a PSP, in order to update the firmware, you have to follow a couple of steps.
Step 2: Once you download the update to your computer, you need to copy it to Memory Stick Duo media.
You can either plug the Memory Stick Duo card into your PSP and then connect the PSP to your computer, or if you can copy it to the memory stick some other way, that’s fine also.
Step 6: Insert the memory stick into the PSP if it’s not already there and then click on Game from the home menu and choose Memory Stick by pressing X.
You’ll now see the version of the PSP update about to be installed.
You can also update your PSP using a wireless Internet connection, but I find this method much easier and safer.
I tried to update my PSP 1000 to 6.20 from 3.10 OE-A. Sony blocks downgrading, so you've got to hack your PSP a bit to get it out of the firmware it's on. Instructions are in the guide linked, so get them there. I don't even know how the cfw got into my PSP, but I can remember going to a gameshop and this dude downloaded some games into my PSP. Know that if some guy downloaded some games to your PSP at a game store, they won't work anymore on official firmware. If you right click on that file, you can see the files inside.
Fortunately, updating your PSP's firmware is not difficult, though it can be a little confusing at first.
Keep in mind, however, that if your want to run homebrew programming, updating your firmware might not be the best choice.
The most straightforward way to update your firmware is by using the "system update" feature on the PSP itself.