www.yourpsp.com

can get the new 2.71 firware from there, and this also now allows you to play game demos, only 1 available atm but that can also be downloaded from the website

once you have the file downloaded to update your frimware, plug your PSP into the computer via USB, open it up and go to the folder "PSP" then "GAME" then in there create a folder called "UPDATE" all has to be caps

then just stick the file in there and navigate to it on your PSP, your battery has to be full to do this though :p

Then once you have update, plug your PSP back in and download the game file from the website and it will automatically install it for you

I think game demos on the PSP are a fantastic idea, wondered why they didnt do them, but now they do :D