If you are on firmware 1.00 or 1.50, you should be able to press the 'Home' button, you'll then be asked if you want to quit!
If you are on firmware 2.00, you need to press L+R+Start to go back to the Eboot Loader screen...however, this doesn't always work, so you may either have to shutdown the PSP or remove the battery!
Cheers,
Fox
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