here is a guide from GTAF
Save changes and close. Disconnect your PSP from your PC
Step 8
Turn off your PSP completley by holding the power switch up until it goes off. Then turn your PSP on again whilst holding the R trigger. Your PSP should enter recovery mode
Step 9
Navigate to "Plugins" and press X. You should see two lines of text. The first should say "Back" and the second should say "vcscheatdevice.prx [GAME] (Disabled)" navigate to vcscheatdevice.prx and press X. it should now say "vcscheatdevice.prx [GAME] (Enabled)"
Note: If you are having problems regarding the vcscheatdevice.prx not showing up, try naming the .txt document game instead of game.txt
Step 10
Press back and navigate to "Advanced" press X and you should see 3 options. Navigate to "Advanced Configuration" and press X. You should see three lines of four lines of text. Ignore the last two and navigate to the one that says "Plain Modules in UMD/ISO (Currently: Disabled)" Press X and make sure it says "Plain Modules in UMD/ISO (Currently: Enabled)"
Step 11
Press "Back" until you get to the Recovery Main menu. Navigate to "Exit" and press X. If you don't have a UMD in your PSP please proceed to Step 13
Step 12
If you have a UMD in your PSP, eject the UMD and wait for your PSP to reach the XMB (Home Menu)
Step 13
Your PSP should reach the XMB (Home Menu) Insert VCS and fire it up. Congratulations! You are running Cheatdevice on Firmware 3.03 OE-C!