Instructions
Go to the "PlayStation Network" menu on your PS3 and choose the "Sign Up for PlayStation Network" option.
Enter your account information, such as account type, personal information, email address, password and security question. After you have entered all this, you will reach the "Online ID" page.
Use the onscreen keyboard and your PS3 controller to select the alphanumeric characters you want in your PS3 ID and then select the underscore (_) character on the keyboard to put a space in it.