A great tutorial for adding custom firmware to your console can be found here. For later Slim users and Super Slim users, a guide for HEN can be found here. You can check if your console needs HEN or CFW by visiting this website on your system.
Note: If you have a PS3 Phat or a Slim with the serial number CECH-20XX or CECH-21XX your system is definitely moddable. If you have CECH 25XX, it's a mixed bag, you'll need to check the above site. Any PS3 slims with a CECH-300X serial and all Super Slim models only support HEN.
Downloading/Running the Game
Install MultiMAN and WebMAN (optional) onto your system, although they should've already been installed from the above guide.
Next, download the Complete Adventure ISO. Romsfun has a mirror here. The ISO is already decrypted and ready to go on a modified PS3 system.
The ISO's location needs to be on the internal drive, or an external storage device. So long as it's within a folder on the root of the drive called "PS3ISO", it'll be recognized by MultiMAN (and WebMAN, assuming you have that installed). Simply launch the game and install updates if prompted.
Note: The PS3's internal drive can't be accessed normally, you'll need to FTP (File Transfer Protocol) the ISO directly to the PS3. First, download an FTP client, many use WinSCP as their client of choice. Open MultiMAN, go to the FTP Service setting under Settings and set it to Enable (No Timeout). Next, go to System Information and input your PS3's IP address into your FTP client. Set the port to 21, protocol to FTP and enable Anonymous Login. Connect to your PS3 and you should be able to access the PS3's hard drive. Make sure you're in dev_hdd0 and put the MCSM ISO into the PS3ISO folder (or make one if it's not there). Once the file has transferred, MultiMAN should recognise the ISO.