Instructions
Download pspWxp from the official website (see Resources).
Right click the pspWxp file and click "Extract All." Double click the "pspWxp" folder to open it. Connect your PSP via USB cable to the computer.
Double click "install.exe" in the pspXwp folder. Once the installation has finished, unplug your PSP from the computer.
Open the Internet browser on your PSP. Enter "file:/pspWxp/index.htm" into the address bar and click "Enter."
Press the triangle to hide the PSP toolbars (and press it again to show them). You will now have the Windows XP portal running on your PSP.