You can do that by yes holding the R button then go to configureation and It'll say

Tons of shit up here
Fake region: Something here
More shit down here

Put the "Something here" to what you want.
If you don't have a Hacked PSP holding the R button WILL not work for you.


Edit: and this should be located in the support desk. And this won't help you for certain things if you Truly need it you shoulda known by now.