You need a special battery and a properly formatted memory stick for this to work.
You can crack a battery and modify it for this hack to work, and you can trace back over with a lead pencil to return the battery to normal. I suggest you have a spare battery though.
Note that this will not work on the PSP-3000 units. So that may be your problem.
I can't vouch for the truthfullness of this one...but a I have a friend who is very much into technology and the like who told me that beyond a certain firmware version (I forget which one) it's not possible to downgrade due to security upgrades in the PsP...I'm not sure how true it is...but I've heard it from him and various other technologically inclined people I know (some of whom work in information technology)
again though...just what I've heard on the topic...I don't know firsthand...