Instructions
Insert the universal media disk (UMD) of the game into your PSP and wait for it to load. Select "Play" from the main menu and press the "X" button.
Press "X" again to select a new save game slot. Walk up to Vernon Dursley, who is the character standing next to stairs once you have control of Harry. Press the "X" button to talk to Vernon and receive your first quest.
Stand in front of Dudley, to the left of Vernon, and press the "X" button to add him to your party. Walk to the bottom of the stairs and press the "R" button to switch to Dudley.
Press "X" in front of the object that is blocking your way, then push the analog hub upward to move the object. Walk inside the room and pick up the present. Walk up the stairs and speak to Mrs. Dursley to get the final present. Go back down the stairs and speak to Dudley to complete the quest and get a new one.
Walk to the front door, which is just to the right of the stairs, and pick up the letter. This will trigger a cutscene after which you will find yourself in the "Leaky Cauldron" area of the game.
Speak to all the characters that have blue stars above their heads to open the door on the top, right side of the room. Exit through the door and press the "R" button to switch to Hagrid.
Face the wall at the bottom of the street and you'll notice that it will have a blue circle around it. Press the "X" button to trigger a mini-game. You have to watch the bricks on the wall light up and repeat this in the same order yourself.
Press the face buttons of the PSP in the same order as the blocks on the wall flashed. There are four blocks and each one corresponds to a face button on the PSP. Once you have successfully imitated the sequence, the wall will open and you will be able to walk through. Hagrid will give you a message welcoming you to Diagon Alley.