Connect your PSP to a computer using a USB cable to change your wallpaper to your personal saved photos and images. The USB cable connects at the top of the PSP. It needs to be completely connected to finish file transfers.
Change the dimensions of the picture/image less than or equal to the maximum supportable size or screen size of your PSP using various image tools like Irfan View, Adobe Photoshop,etc. one thing to note here is that you must keep the image format or in other words the extension, as supported by your PSP.