I have both a PSP Phat & slim with 4.01m33 on both.
I have MAME4ALL v4.9r2 16112007
and it works fine on both.
I don't think you need the 1.5 firmware to run it.
After downloading, inside the zip you'll find 4 files, unzip the one named: PSP_MAME4ALL_v4.9r2_Hires_by_TTYman_-_16112007.zip
Inside there you'll see a folder named: psp_mame4all_v4.9r2
Copy it and all subfolders to you PSP memory stick in the GAME4xx folder
Now go back and find the folder named: psp_mame4all_v4.9r2-usermode
use the eboot.pbp file in that folder to replace the one you just copied to the memorystick in the mame4all folder.
The roms need to be zipped and in the MAME 0.34 format since mame4all is base on v0.34