When creating your MyNBA, make sure your setup options on the right side of the screen have custom roster turned on if you're wanting to use a custom roster. Once you advance, you will then see the roster picker screen.
If you want just the all time teams without a custom roster, make sure customize league is turned on in your setup options. Once you advance, you will see the list of teams. Go to a team and press triangle and select replace team. Then you can replace that team with a classic team or hit R2 and you will see all of the all-time teams.
Hope this helps and good luck!
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