if your psp is on a custom firmware, then i highly suggest you do not update to v4.00. as it is the official firmware and it will overwrite the custom firmware during the install.
but if your psp is on official firmware and you wish to update to v4.00, then you can either update via the "Network Update" on your psp (you must have a wireless router to connect your psp) or you can download it from "
HERE" and manually install it.
by the way, sony has just released v4.01. if fixes some little bugs. the download link above will take you to it.