The basics of installing CFW:
1. A good website to get things from.
I usually prefer
PSP-Hacks for all my PSP hacking needs. They provide direct downloads (which means right out of PSP browser) and lots of members which means support for newcomers, and a very low chance of Viruses.
2. The actual CFW
CFW installation varies by Firmware Version (OFW), but for most usual versions the creator of the CFW will have a guide of sorts on how to install the CFW.
3. Homebrew
Homebrew are applications and Games designed by PSP Developers outside of Sony that make Unofficial mods for the PSP System, most of which only run on CFW. These can be found on PSP-Hacks.
These are the basics for hacking your PSP. If you provide more specific details, we can better help you on installing CFW on your PSP. (EX: PSP-3001; OFW Version 6.39; Want to have Total Noobs CFW on it please.)