PS3 and PSP Firmware Update Coming Soon
By Shawn on Wednesday, September 12th, 2007 at 9:20 AM PST In Sony, Sony, Sony

Sony has announced a firmware update for the PS3 (1.93) that fixes the network disconnect issue caused by the version 1.92 update. Players can expect to see the update available in the next few days. Additionally, a new firmware update for PSP (3.71) will be released that adds a number of features requested by gamers including scene search for movies.The main feature of the PSP update is the ability to set themes. Sony will be providing themes based on some of its popular titles for download from PlayStation.com, its official PSP site and through PLAYSTATION Store. Themes must be downloaded in the proper location on your memory stick.

You can access your downloaded themes from the settings menu under the theme option.
PSP owners will also be able to play music while viewing photos or a slideshow. First begin playing a track saved on your memory stick, press the HOME or SELECT button, then select your photos under the Photo icon and begin viewing.
A complete list of update features will be available when the firmware updates go live.
via Playstation Blog

I think your missing something the features your talking about are in firmware 3.70 that went live yesterday, 3.71 is a diffrent update thats set for release in a few days.
Still though, sounds like a neat update for the PSP.