You download individual players from the player vault to your PS3's HD. Then, you can go to Roster Control from the main menu of the game, click on a player, and replace him with one of the individuals that are now on your HD (pitcher for pitcher, position player for position player).
The reason a lot in the OSFM rosters are 'A' is because of a "glitch" in the create a player feature. You can use this to get an accurate face of a player that used to be in The Show. See this thread for more details:
http://www.operationsports.com/forum...r-vault-9.html