So, you want a fancy new theme on your PSP-2000? Well, who can blame you? You've had the thing for all of a week now, it's time for a change. So let's get started!
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.