I had a PSP I purchased 3 years ago that I managed to hack. I was running a custom firmware that enabled me to play ISOs of downloaded games.
Your first step is to identify which version of PSP you own and then go from there to determine if that version is even hackable.
It will take a lot of research, and you might even find a good tutorial on how to do it for your specific model on youtube.
I didn't need to when I hacked mine, but I think nowdays they hack the PSP using something called a "pandora battery".
Try not to turn it into a brick.