Instructions
Select "Network Settings" from the PSP main menu. Select "Infrastructure Mode" and "New Connection" from the next two pages.
Select "Scan" to have your PSP look for the closest WiFi hotspot. Select the hotspot you want to connect to, usually the one with the strongest signal.
Enter in the network password that your private network uses. This is the same password you use with your computer to gain access to your WiFi connection. If there is no password, select "None."
Select "Easy" for the "Address Settings." Press the "X" Button to save the settings and to return to the PSP main menu.
Select the PSN Store icon on the far right of the PSP main menu. The PSN Store will now appear and you will be connected.