Make sure that the version you are using supports the higher firmwares. Some versions of gPSP don't support 3.90.

 

The official version doesn't work with a custom firmware, but I think there's an unofficial one made by kai out there. I'm not sure if it works with 3.90 M33 though as I have put it on a 3.80 M33 version. So basically just find the correct version or change it to the right kernal setting. Then you'll need to find a GBA bios and put it in with the gPSP emulator folder and then put the ROMS where they are supposed to be. The readme that comes with it only describes the changes and doesn't really give step by step instructions though. Most of it you can do yourself.