This should help: http://en.wikipedia.org/wiki/XrossMediaBar
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The XMB is open as soon as you turn the PSP on
XMB stands for Cross Media Bar, and is the interface for the PSP system. Basically, it sorts the content of your PSP into categories like Game, Video, Music, Network, etc. From there you do things like listen to a song or start playing a game.
The XMB on the PS3 is the name for the menu or list that covers the screen from right to left with settings, photos, video, games, network and also allows you to go up and down within these different categories. The related link has instructions for background changes of the XMB
http://www.psp-themes.net/ Place theme.p3t (or .ptf) file in X:/PSP/THEME/ folder and select theme from XMB->Settings->Themes X is your psp USB or PSP media card Or Download Only theme file directly from your PSP internet browser.
Reformat hd. On the XMB go into the settings menu and you will find "Reformat hard drive".