Sony has just popped out an application which you can use on your personal computer to design and edit your personal themes, backgrounds and icons for your PlayStation Portable. Basically, you can drag anything that looks good in your opinion and drop it

As for the backgrounds, those can be easily changed without using the respective application, but they're going to look a lot better using this small, but nifty application. The program itself is in English but the pdf file containing all the instructions is in Japanese. Not to worry, the app has a very simple and user-friendly interface so you'll be able to do without.