You need 3 things:
1) a PSP that is either a 1000 or 2000 model
2) a pandora battery
3) a magic memory card.
details:
1) The old "fat" psps are the easiest to hack. some 2000's can be hacked, a 3000 or psp go cannot be hacked
2) a pandora battery is a special battery that powers on the PSP as soon as its plugged in, unlike regular batteries. You need this to enter service mode on your PSP. UNLESSS, that is you have firm ware version 5.03 or lower, in which case you don't need one.
3) a magic memory card is just a memory card that has the exploit on it.
I hacked mine, its cool, I ahve SNES and nes and SMSM and genesis emulators on it. You can put gba emulators on it too, as well as play psx games.
First check to see what version of the psp you have, then just google "psp, pandora battery, magic memory card, cfw"
You tube, is also really valuable. Do a search on you tube for "psp CFW"
You can make a Magic Memory card yourself. You may have to buy a pandora. All in all, modding it isn't hard, doesn't take long and is totally worth it. Personally, I think most PSP games suck, so getting mine hacked made it all worth it.