I've just seen that same advice given in another thread.It seems a simple enough process,I'll give that a bash.
As for hassleing Sony about a firmware update,I have my doubts if it's possible,it's not a PC related player rather a stand alone DVD player(ideal for the back of the car)which also happens to play DivX,but I'm not sure how you'd go about a firmware update on it.
Generally you download, burn to disc, insert in player, press play to flash or whatever and you are done. The player is designed to respond to certin volume labels/filenames. That is how it works with regular standalones. I see no resason why updating a portable one should be any different.