you need a pandora battery and a Magic Memory stick to put Custom Firmware (CFW) on your PSP.
A Pandora battery is a modded psp battery that (in short terms) communicates with the Magic Memory Stick (MMS) and puts the CFW on your psp.
The MMS is a specially formated Memory Stick with files on it that communicate with the Pandora Battery to put CFW on your PSP.
need a guide to help you figure out what i am talking about?
http://www.pspmod.com/forums/psp-har...ery-guide.html (Easy-To-Use Pandora's Battery Guide)
there you go
EDIT: hahaha i forget, lemme quickly explain the CFW... CFW is the firmware that will allow you to play Homebrew and Emulators. Original Firmware (OFW) is firmware that is released by Sony, which limits you to the basics of the PSP. Since you have OFW 4.01 you have stuff like Skype, Internet Radio etc. With CFW you get all that plus you are able to to play homebrew and and emulators.