Instructions for 3.03 OE-A' and 3.03 OE-B firmware:

1.  Copy the contents of MS_ROOT to your memory card.

2.  Power down completely, enter Recovery Mode (Hold R during power on)

3.  In Configuration menu, enable "Autorun program at ...",
set "Game folder homebrew" to "1.50 Kernal" (if it's not already),
(Optional) enable "Skip SCE logo".

4.  Copy the pmf file you want to your PSP/System/Intro folder and name it intro.pmf.


Thanks to Piccahoe & Shadowz.
More thanks to Sorin P, C, and dark_alex.