First, put the "UPDATE" folder from the "4.01 M33" (which also includes the needed official update, so you don't need to download it) folder in your PSP's memory stick's PSP/GAME folder, and run the update from the XMB menu at the games tab. *Before running the update, make sure your battery has enough power, because a shutdown in the middle of the updating may "brick" your PSP.
After the first update, delete the "UPDATE" folder from your memory stick, and put the "UPDATE" folder from the "4.01 M33-2" folder in the same place on your memory stick (PSP/GAME) and run the second update. It would take a few seconds and finish.
After that you can delete the "UPDATE" folder from your memory stick.
It wasn't mentioned what is the oldest firmware version you may have to be able to run this update, but as the 3.90 M33-3 update required at least 3.52 M33-3 (which is pretty old), I guess (maybe) that this one doesn't need a very new version which the most probably have. Required or not, I had version 3.90 M33-3 before I've ran this update, but if you want to be sure, just in case, you can download the 3.90 M33-3 update from here .