Instructions
Select the "Network Settings" icon on the far left of the PSP main menu. Select "Infrastructure Mode" from the next screen.
Select "New Connection" and "Scan" and your PSP will look for your wireless-g router. A list of available connections will appear.
Select your wireless-g access point from the list and enter in your password (if there is any) on the next screen.
Select "Easy" as the address settings and press the "X" button to test the internet connection. Press the "O" button to return to the PSP main menu. Your PSP is now connected to the internet.