Here is the usual savestate plugin for the PSP 5.00 M33 firmware. There is the readme.txt file in the root directory explaining how to use this plugin. The directory has been prepared for you. But before you go ahead and unpack it all to your root of the memory card, I would like to have your attention to the game.txt inside /seplugins. You will need to modify this file if you have other plugins. Basically, you need to include this line into your existing game.txt if you already had one. Otherwise, plain and simple, unpack them and enable it by holding your R button and do a cold reboot.
Download the PSP Slim 5.00 M33 Savestate plugin:
PSPS 5.00 M33 Savestate
P.S. I do not need to mention that this only works on firmware 5.00 M33, I hope.