You'll have to use the (L)ME CFW (6.20, 6.39, or 6.60) since it has this feature. Connect your PSP to your PC via USB and place the EBOOT.PBP file you want in ms0:/PSP/GAME/BOOT/. Finally go into the recovery menu and enable the option to autorun the file (It should be in the "configuration" option).
PRO seems to have removed this feature, for whatever reason.