create a new .txt file called autorun.txt in your memory stick's root folder
Then open the file, and add this info to it:
[autorun] icon=psp.ico
Now put the icon file in the same folder as the autorun.txt and rename the icon file to psp.ico
finally, just rename your autorun.txt file to autorun.inf and now whenever you plug in your psp, your default icon for it should be the custom one you put on your stick. Below are a few of my original creations.
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