Hello, jorge hurtado.
1. Download and install MSwapTool.
Download the wonderful tool MSwapTool, from here. There's a readme/PDF included, but what you need to do is explained below. The application is Spanish, but it doesn't matter - it's really simple.
2. Download a homebrew PSP game.
Download and unzip a homebrew game. Be careful using emulators - emulators can potentially max out the PSP processor if running it at its full 333Mhz for extended periods of time.
3. Run MSwapTool.
With MSwapTool installed and your game downloaded and unzipped, run MSwapTool (Start > Program Files > MSwapTool). You'll see a simple interface with two input boxes, which are basically From and To. "Fichero PBP" is where to find the game files to convert, and "Directorio" is where to write the output file.
Click the first dotted box ("Fichero PBP"), navigate to the directory where you unzipped the game you downloaded, select the EBOOT.PBP file, and click Open. MSwapTool will convert this file into the files you need for a launcher and game stick.
Click the "Directorio" dotted box to choose the output directory for MSwapTool. Then click "Generar ficheros" (Generate files). Once the conversion is complete, you'll get a message in Spanish.
The outputted files will be in two folders, MS1 and MS2.
Now you need to write these files onto your two memory sticks, and make sure you keep track of which one is #1 and #2. Insert each stick into your reader, and create three new, nested folders on both sticks: PSP, PSPGAME, and PSPGAMEPSP-DEV.
Copy the contents of folder MS1 into the PSPGAMEPSP-DEV folder of stick #1. This will be your launcher stick. Then swap the contents of folder MS2 into the same directory on stick #2. This will be your game stick.
Pop stick #1 into your PSP and select Games > Memory Stick. You should now see a lovely new icon for PSP Launcher (and the name of the game/app you made).
Get stick #2 ready, then select PSP Launcher, quickly swap out memory stick #1 with memory stick #2, and viola! You're now running a free application someone made. Most of the applications and games come with source code, so expect some amazing new things to do with your PSP. Just don't update your PSP's firmware, ever, ever again.
Do not hesitate to ask us back if something remains unclear.