Simply put it on the pictures folder on your PSP, when seeing the picture you should get the option to use that picture as a wallpaper.
You can resize the picture so that it fills the screen if you need or if the PSP gives a message saying that the picture is to big, the size should be 480 x 272.
Currently using
this one
EDIT: or you could make a google search for PSP wallpapers and have the job done for you, like this one
here