I heard something a while back when the PSP was released that you could set a password for all ratings, so it would ask for the password instead of booting the UMD and send you back to the menu if you didn't enter the correct password. Basically, you could make the password easy for when you want it to boot, then press nothing when you don't want it to boot. I haven't tried it, but you may want to check it out.
I ment to say that whilst this is a good solution, it doesn't work in my case.. I have Ridge Racer on UMD and this doesn't seem to have any "parental control".. Unless I am doing something wrong of course!
I set my PSP to "Level 1", but Ridge Racer just loads anyway!