Load up your game as usual, then remove your memory card and go to Edit mode. Choose Edit Team and pick a team that you never use (I suggest PES United or the other team next to it). Register whatever players you want from whatever club (ie, move Ronaldo frm Real Madrid to your team), edit their kit, name, everything. At some point you will have to get rid of the original players in the team; just register them to a different club, don't worry what club because this won't effect your game.

When you have created the dream team, exit Edit Mode, if you removed your memory card like I said, it will not auto-save on exit, then start Master League with MAtch Mode teams. Once your season has begun, save the ML data, and if you want to use the team in Match Mode , save your Best XI. Then simple re-load your Game Data, leaving you with a Master League season of your Dream Team, and a Best XI of the same team. Using this method, you will not mess up any realistic transfers etc