Yes, you will need a .psv file. If you're trying to put a .max or .xps file, you have to put it on a PS2 memory card and use a Memory Card Adapter to get it on your PS3.
But if you have a .psv file you can transfer it in one of many different ways. CD-R, DVD-R, memory stick, USB Drive, SD card will all work. Just put it in the folder ROOT:\PS3\EXPORT\PSV