Prophet: If you are refering to the "auto upgrade.exe" program.
You double click the file and it will ask you to locate the PSP drive.
e.g. E, C etc... You choose which one and it will install ALL the files required, Including the GTA loader I believe. This is a good file for a person who does not have the time/heart to do it themselves. Like whats the odds an APP can do it wrong?
Hope this helps