The trojan is low risk because it doesn't spread to other devices.
Sony designed the PSP for games, to display photos, play music and browse the internet. However, developers have added numerous applications that for instance let the device display text files or have it play music streaming of the internet.
The latest model of the PSP ship with an upgraded 2.0 version of the firmware that blocks users from installing homebrew applications. But it didn't take long before developers discovered a buffer overflow vulnerability in the software that allowed them to install the previous 1.5 version of PSP's operating system. Sony Japan has recently released a new firmware v2.01 to solve the problem, although it is addressed to the Japanese version of the PSP, at least for now.