NakedFaerie is true in what he answers you, andrewnick, readme is enough clear about that stuff
It's like past OE/M33 updates with eboot renaming. (Rename it to 371.pbp and copy it inside of GAME/UPDATE/ with EBOOT.PBP and umodule.prx)
Also, remember that you should *not* update to 3.71ofw, as there is not pandora.. by now. 3.71M33 can't be installed on an 3.71 original by now, as there is no public method of downgrading a Slim.