PSPdemon, from the DCemu forums, has discovered a virus that can brick your system. It disguises itself as a "usb kxploit" and features folder names "SDL-TEST-5 and SDL-TEST-5%" (although this can change at any moment, of course). The file seems to be around 74kb, so make sure you double-check any files you download off the web for PSP use. A virus scanner is available for PSP files, so you may want to check it out.
No one wants to have a $200 piece of bricked hardware, right?
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