So I noticed you said you have a 4.00 firmware right ? an you don't really need the THM file its just to show a pic of the video file when you highlight it on your PSP.
I'm guessing most of the videos that someone uploaded are formats only to be played on a custom firmware, so in your situation I would use Xillsoft video converter to convert the files that you already downloaded to be playable on your regular 4.00 PSP, convert the videos to (PSP-PSP Mpeg-4 Video).MP4, then put them in your video section try that out an see if it works
Also use a pandora battery if you wanna get custom firmware