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.
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The XMB is open as soon as you turn the PSP on
This should help: http://en.wikipedia.org/wiki/XrossMediaBar
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.
If you mean a game save [under Game > Saved Data Uility on your XMB] then the games that you play will automatically load those for you. If you mean a saved homebrew game, read the readme.txt they usually come with, it will tell you to move all the data to "psp/game" or maybe "psp/game150" ect..
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