Believe it or not, but it is /better/ to install the custom firmware without first installing the official firmware these days. The reason is that today's custom firmware integrates all of the functionality of the official firmware without you needing to install the official firmware at all, and without the official stuff, you don't get cut out of the convenient ways the unofficial stuff can be loaded, nor have some of your changes reverted by the official firmware. But I am glad to hear that updating the PSP Go was so easy for you. Too bad SONY doesn't make Media Go available for anything but Microsoft Windows - it leaves everyone that doesn't use it such as Mac and Linux users in the dark... well, it leaves them with less easy pathways to update their hardware.
Speaking of which, once the PSP PSN storefront goes dark, how will people load up their purchases onto their PSP's?