The hold button neutralizes all other actions on the psp. If the hold button is turned on nothing you press will do anything. Its useful for transporting your psp and having a game on hold for a bit.
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what button on PSP skips the initial setup
Completely shut down your PSP as in hold the power button up until the screen goes black. Then hold R shoulder button then turn your psp on. KEEP holding the R button and it should go into the scary black Recovery menu. Then choose what you want to do. If you have the option of turning on the vsh then do so, to make life easier when you want to quickly change a setting. Also check out psp wiki: http://alek.dark-alex.org/pspwiki/index.php/Recovery_Menu all your problems solved :)
It is the button that changes the brightness of the screen. If you don't know where it is, then check your PSP manual.
The AOSS button is something on a wireless router, it's not on the PSP itself.
I believe you are talking about the button that releases the battery cover, so you can get to the PSP's battery.