Ahh, i had that problem once, funny story, actually.
I downloaded a game to my memory stick (I forget which 1 ) and when i tried to play it, i got the message that you get when you dont have CFW. so i put in my pandora battery to re-install my CFW (which was still on my psp xD, shoulda just left it alone) wen i put in my batt, i didnt have my magic memory stick in, so when i tried to install it, it couldnt find the file, and bricked my PSP. about 4 months later, i finally got a hold of my freinds card reader,and put the magic file back on there and fixed it!! words of wizdom--dont be a dumbass, if you have a PSP avoid brixx or u will regret it!