Yeah, you need to load custom firmware on your PSP to play anything not officially supported by Sony (meaning not sold specifically for PSP in-stores or through PSN), even for pirated PSP games.
If you do decide to load custom firmware, read up on the versions and make sure to know exactly which version of the firmware you need, and if possible if it is a temporary Custom Firmware, meaning it can be removed. I only ever upgrade if it is temporary. Silly me upgraded the Official Firmware a while back, and there isn't a CFW out for that version yet. I used to use CFW to play my games from the memory card, seeing as I once dropped my PSP and it refuses to read UMDs now. Now I sit and wait for the next CFW that I can upgrade to before I can play most of my games.
Also, if you load CFW and your PSP needs repairs, they can refuse to repair it, if I remember correctly.