Copy the CXMB folder into the root of your memory stick:

Open the seplugins folder on the root of your memory stick:

Open the vsh.txt file inside the seplugins folder and add this line:
ms0:/cxmb/cxmb.prx

Restart your PSP and hold R, enable the plugin in the recovery menu.

Plugins/cxmb.prx [VSH]

Copy the theme KILLZONE 2 in ms0:/PSP/THEME..(if you want)

Go to Settings/Theme Settings/Theme/ and select your theme:

Your PSP will restart and will load to your new theme.

To change themes simply place your CTF's in PSP/Theme (you don't have to delete your old theme) and then select the theme by going to Settings/Theme Settings/Theme and select your new theme. You can hold as many CTF files as you want on your memory card.