This was written by me for firmware 3.03 OE-C, but I'm pretty sure 3.40 OE-A requires some different files. Make sure that the theme you downloaded is 3.40 compatible, this way you don't F up your PSP (you can always use recovery mode to restore you to 1.5)
you have to boot up your PSP in Recovery mode. This is how you do it:
1. Turn your PSP completely off, not just in sleep mode. This means holding the power switch for a couple of seconds.
2. Turn your PSP on, but while doing so you must be holding the R button.
That will boot up your PSP in recovery mode. Next what you must do is toggle down to the "ADVANCED ->" heading and press "X".
Once there you must connect your PSP to the computer via a USB cable. Make sure the cable is completely in, and then toggle down to the "TOGGLE USB (flash 0)" heading. Press "X".
On your Desktop your PSP should now be recognized. Go to "My Computer" on your desktop and search for "Removable Disk".
Click on this and you should see a series of folders...
Data
font
dic
kd
kn
vsh
You are really only interested in VSH, but before you doing anything else...highlight all of thost files and drag them to your desktop. Doing this will help you if you do something stupid and accidentally mess up your PSP and would prevent you from re-flashing your PSP to firmware 1.5
Anywho, once you have made a copy of your Flash 0, you are ready to take the files of the theme you like and replace the ones on the Flash 0.
Double click on VSH, then double click on the "Resource" folder. Now, check your theme for any files that match up with those on your FLASH 0, drag those files over to the FLash 0 and click OK when it asks you if you want to replace the files.
((((IF you don't have enough room on the FLASH 0...go to this link and delete what it says to delete from it:
http://www.pspmod.com/forums/showthread.php?t=12832 (Need help on 3.03 OE-A) That thread is for 3.03 OE-C as well, so if you feel uncomfortable messing with a guide that isn't specifically guided towards you...I won't feel bad)))))))
There you go, complete. You have a new theme. Congrats.
Also, I don't feel bad at all if you don't use this guide, despite taking me a little while to make...because I am not fully versed in 3.40 OE-A. Good luck man.