Some PSPs, to my experience, just CAN NOT bring the VSH menu up. I don't know why (I think it has to do with motherboards, there was a 1000 Mobo with hacking issues back in the day).
You can try to go into the Recovery menu by holding r and starting it up after a complete shutdown. check the settings and see if VSH menu is disabled.
Another possibility is that the select button is broken. Try playing a game and testing it (Monster hunter, for example, will make the player kick lol).
EDIT: also know all the stuff in the VSH can be changed in the Recovery menu, too, so if it wont work just use that.