Have a look on http://www.psp-vault.com/ then goto file vault menu option and then games saves - eur. There are loads of different games here but there is also an option file for pro evo 5 for up to date players.
You need to hook up your psp to the computer and then unzip the file. You will notice that the folder has a name like 'ULES00248FMHCFG'. copy that folder into your game saves folder on your psp. When you load Pro Evo 5 it automatically gets picked up by the game and loaded. It is pretty up to date - Replaces French league with Championship .ie. Has Hull City in the Championship
Exactly the same for FMH2006. Just drop it in the game saves folder and then i think you click Load game and select the option file. I haven't personally tried the fmh2006 files myself but a friend of mine has tried the Sugar daddy option file which basically makes your chairman mr rockafella and you very happy.