To convert icons into 3.40 this is the tutorial:
http://forums.qj.net/f-psp-mods-medi...oe-104300.html
haloboy: Your pack includes this:
-Six Custom Backgrounds
-One Custom Gameboot
-One Custom Coldboot
-Custom XMB Icons
-Custom Halo System Font
-PSPFiler 2.5
-X-Flash v18-k
-Shadowz's CIntro Mod for 3.00+
-"topmenu_plugin.rco" Flasher by kgsws
All of it will work

only conver the icons they provided into 3.40. With the link I pasted.
Cintro Mod do my guide, I have no idea how OLD that is and it might just mess up something.
And about .PMF I cant say, its illegal and the process its too long to just say it. Its quite long. remember .PMFs are gameboots, so you can use a gameboot as a cintro.
Baseball dude:
The saves wont be deleted or erased or anything, "back them up" before upgrading of course, the thing that happened was this:
Sony changed the format of the PSX saved games. So when you start playing your psx game on 3.40 it'll ask you if you want to convert them into 3.40 format. say yes and your good to go. BUT one thing you wont be able to use them again on any firmware lower than 3.40. And yes you'll have to do my guide on coldboots + PSX once again.