Upgrade!: First things first, you're going to want to update to the 3.70 PSP Firmware. Just go all the way to the left in that XMB menu and hit "Network Update." (Tip: Make sure your PSP is able to connect to the internet, otherwise this will go poorly.) Follow the instructions to update your firmware.
To the net!: Now, go to this site. Next, get totally scared because it's all in Japanese!
OK, you need to chill out. This is going to be fine. Just scroll down, there's just one thing we need from here. We need to click one gray button, scroll down until you see it.
Connected!: You're going to want to browse your memory card and inside your "PSP" directory, create another directory called "THEME." Now, put the file you saved (classypink.ptf) into that directory.
Set it and forget it!: Finally, go to "Theme Setting" under the "Settings" tab of the XMB. Now, choose "Theme". You'll see "Cookies" there, that's a theme that turns everything into cookies (as you may have guessed). You should also see a picture of your memory card with a classy pink orb next to it. Select it and apply it! You can now delete classypink.ptf from your card.
All done!: Finally, you did it! Enjoy your new theme! ... Oh! We almost forgot the most important step! Don't forget to realize that "cookies" and "classypink" are both really ugly and that you should change back to your original theme.