Ok, so last night I upgraded my PSP from 3.03 OE-C to 3.40 OE-A. It went rather smooth, and I am surprised how newbie proof they made it. I think it'll be very hard for anyone to brick their PSP's whilst doing this upgrade.
There was a couple of things I did before I did the upgrade though, and that was:
1. Restored my flash0 folder to it's original 3.03 OE-C files. So I didn't have any custom icons; waves; backgrounds.
2. I restored my XMB settings from Recovery mode. You don't have to do this, but I didn't want to take any chances.
3. Made a backup of all my files that I have on my PSP, game saves, music, homebrew etc.
4. Formatted my memory stick in my PSP for good measure.
Then I did the upgrade. As I said, it went very smoothly, it's just a tiny amount of copying and pasting that needs to be done, and then the moving of 1 file. For all those who want to upgrade to the 3.40 OE-A, go for it, but read the readme.txt
Get the files you need from here:
http://www.psp-hacks.com/2007/04/20/340-oe-a-330-oe-a-released/