first, put the cxmb folder into the root of the memorystick, so that the structure looks like D
(or any other drive letter):\cxmb\cxmb.prx
then, enter ms0:/cxmb/cxmb.prx 1
into the vsh.txt (or on default windows, simply a text file named "vsh")
download a .ctf themecompatible with your firmware, and put it into the "THEME" folder inside the "PSP" folder (same folder with the "GAME" and "SAVEDATA" folder).
Then, disconnect your PSP and press select button
to bring up the vsh menu, then select the "reset vsh" option. This should activate the plugin.
After this, go to the theme settings option on the PSP (I think it is below the system settings option) and if everything has worked, it should show the .ctf theme you placed in the THEME folder, so choose that theme and the PSP should reboot itself (reset the vsh, I think), and the theme should be active when it has rebooted.
If the PSP crashes while rebooting, try shortening the name of the theme, it might help (this happened when I frsst tried to install a theme
hope this helps, and good luck!
also, if you're on 6.60, you can find some awesome themes converted to 6.60 here