The best place for you to start would be Evo Web.
That's the big PES/WE community.
Lots of tutorials there.
Some of it may seem daunting at first, but it's all really easy to do.
My XBOX version is pimped to the rafters with all kinds of stuff - I particularly like the photo I put of me and my mate on the sign at the club house (the big Konami one).
This is basically what you need:
All PES/WE games (PS2, XBOX, PC - even PSP) use AFS files. These AFS files always consist of a a graphics afs, sound afs and language afs.
The graphics one is what you want to change graphics such as kits, faces, adboards, balls, boots, banners, some menus, stadiums etc.
The language one deals with...erm...the language...this is how people edit the language in the Jap version. However, it also contains some menu backgrounds etc.
The sound one contains the menu music and all other sound effects - such as chants. Even the music that goes off when the players walk onto the pitch can be changed - I , like everyone else, have the Champions League music.
The intro can also be changed, I currently use X-Group's 1.2 video as it is excellent (unlike their other work).
To edit the sound, you'll need AFS Explorer and something like Nero wave editor (it's all in the tutorials).
The graphics are really is to change. Someone has created a tool specific to PES/WE (it also works for some other Konami games that us AFS), meaning that in most cases, editing graphics in the game is as simple as drag and drop and then burn. The tool is Graphics Studio.
Get over to Evo-Web though, loads of tutorials, really is easy to do. It would be best if you got the pc version to practice on as you wont' have to keep burning/transferring files to the XBOX/PS2.
oooh, XBOX version today.