Basically, since you're already on OFW 3.80, the only way to get CFW on your PSP is to use Pandoras Battery.
IIRC the highest firmware that is downgradable without PB is 3.50
and to get to 4.01 M33, you have to be on 3.71 M33 or higher because the older ones have a problem with the installer I think.
Since you are not already on a custom firmware, you cannot make the "magic" memory stick without getting somebody else to get the IPL and other needed files, then using programs on your PC to format the memory stick in the right way and write the IPL in the correct place, then you can manually copy the other files (the firmware updates) to the memory stick and when you put the battery and the memory stick in (assuming the battery has already had the Pandora serial written in [0xFFFFFFFFFF I think]) it should boot up automatically with a screen telling you to press X to install whatever firmware the memory stick is set up for, you can then change the battery back into a normal one and use your PSP as normal, with the added bonus of CFW.
I'd also recommend using Despertar del Cementerio instead of the original Pandora files, as these will get you straight to a higher CFW (3.80 M33 if you use V5), from which you can just use the network update or download the needed files manually.