Here's the proper images
The FF one
and the Xenogears one
just rename whatever one to 01-12 and flash it to vsh/resources and then do a right click and sort by name, psp likes its things in order always sort by name after changes, that could be the problem alone.
once on your psp go theme settings > wallpaper > do not use
Theme > the white box under "original"
should show, if not just reboot and it should
Wave should work fine too, if it's messed up it gives you a semi brick, so if your custom wave is installed and you are getting full boots to the xmb your wave is ok.