At this time there is NO way to play anything other than games on UMDs on any firmware newer than 1.50. Any PSP bought in the last month will have a firmware newer than this and so you can't play anything on them except store-bought games. (Unless you bought an old-stock PSP produced prior to September).
To find out what firmware version your PSP is, go to the PSPs "Settings" menu and then go down to "System Settings". In this section is a "System Information" tab. Select this and it will tell you the version of the System Software (firmware). If this number is 1.51 or higher, you CANNOT run homebrew on your PSP! You can only run software from UMD!
The original Japanese PSP came with 1.0 firmware, later a 1.50 release was made available for it. The US PSPs came with 1.50 to start with.
The 1.0 and 1.50 firmwares had security holes in them which allowed people to make software to let the PSP run non-official Sony code. ("Homebrew").
When Sony released the 1.51 firmware, they fixed those holes, preventing homebrew working.
Since then there have been 2 additional firmwares, 1.52 and 2.0.
ALL European PSPs (including Australasia and any others released on/since September 1st) have come with a 1.52 firmware built in to them. Most of them should also come with a UMD disk with an upgrade to the 2.0 firmware on them. The 2.0 firmware added a web-browser and other features. Euro PSPs CANNOT run homebrew software.
If an exploit is found in the future or a downgrader is released to allow people to install a 1.50 firmware on their newer PSPs, then, and only then will you be able to run homebrew.
Yes the topic is misleading, something for nothing is a great lure and with any luck will help to educate.
* For information on getting homebrew etc. to run on PSPs that ARE able to do so, refer to the appropriate sections in the FAQ:
http://www.psp-spot.com/forums/index.php?showtopic=455