You mean you bought a PSP with v3.03? Custom firmware (3.03 OE-C) is the hacked version of Sony's firmware 3.03. It doesn't come from the store...If you really have bought 3.03 OE-C from the store, which I highly doubt, you can do the following. Place your files in:
Running ISO's/CSO's : X:\ISO
Running Homebrew: X:\PSP\GAME150
(X is the letter of your PSP drive)
If you have Sony's firmware, v3.03... you can downgrade to 1.50 then to 3.03 OE-C using this tutorial but you need unpatched GTA: LCS:
[Tutorial] Downgrading a v3.03 PSP to v1.50/v3.03 OE