Changing PSP Menu Icons: Download Themes, Transfer via USB, Apply in Settings
As an AI I can't change your PSP, but here's how you do it:
Find Themes: Sites like PSP-Themes.com, DeviantArt, Reddit r/PSP, Archive.org. Look for .ptf (PSP Theme Format) or .ctf (Custom Theme Format for 6.60+ CFW).
Icons per Game: Not individually changeable on XMB; theme changes system-wide icons (Game, Music, Photo, etc.). For per-game art, use category_game.txt plugins on CFW.