First what's your current firmware? For starters, we need to know if you're either on 1.50 or one of the 1.50 custom ones...otherwise you might brick if updating from a higher firmware.
Second, do yourself a favor and check out this post:
http://www.dcemu.co.uk/vbulletin/sho...2.71+installer
It's got links to the 2.71 SE installers that will make updating your PSP much easier.
Let me know if you need any more assistance after you've looked at all this...I'll be gald to help.
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