http://www.pspiso.com/index.php?topic=31177.0
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It'll walk you through downgrading to 1.5, then upgrading to a custom firmware.
In that subforum, there will also be tutorials on how to install emulators, play ISOs, etc...
Downgrading from the latest 3.5 will be a little tricky... I believe you're going to need a certain UMD.
Also, make sure you have your AC adaptor plugged in. If your PSP runs out of battery during downgrade or upgrade, you can brick your PSP.