These are the possible factors that might be affecting the loading process of your game.
1. Make sure you are in 5.03 Gen-A before updating to 5.03 Gen-B. Installing 5.03 Gen-B without first going through 5.03 Gen-A will cause some games (esp PSX/PSone games) to not work properly, or worse, not at all.
2. Make sure that you have a proper file of your game. Converting PSone games to play on the PSP can be sometimes buggy. What software did you use to convert it? Was it properly converted? Is the file compressed to much?
And btw, I assume you have a PSP 3000. There's no permanent CFW for the 3000 as of the moment. You'll just have to try to not completely shutdown your PSP.