3. 40 OE-A is the latest custom firmware available right now. Here's the general procedure for installing custom firmwares on a brand new PSP:
1. Do not upgrade the firmware to the latest version.
2. Identify the firmware and motherboard version of your PSP. (link)
3. Downgrade to 1. 50 firmware depending on your existing firmware and motherboard version. (link)
4. Install the 3. 40 OE-A custom firmware and enjoy! (link)