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I had a hard time figuring out how to do this myself so i decided to help others with this process. After done you figure out it wasn't a hard thing to do. (sorry about pictures, my camera is broken and I had to use my computers built in camera).
Step 1Get a usb to mini usb cable
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This is the crucial part in this process, without this you can't do anything I'm going to show you. So if you have one continue, if you don't go out and buy one. Also if you are lucky enough to own a playstation 3, like me, you can use the same cable you charge the controllers with.
http://www.psp-themes.net/gaming-games-themes/halo-3-spartan-gray-theme-368-psp-theme.htm.
its pretty freaking awesome..... although it took me two tries to put it on my psp.
http://www.pspthemecentral.com/PSP/download/PSP-themes/Biohazard.aspx
oh well, but nice instructable