Instructions
Insert the game into the first PSP UMD drive. Start your game and select the multiplayer option. An options menu will appear with several settings you can manipulate that are exclusive to the game you are playing. Enter your desired settings but do not start the game.
Remove the game from the first PSP. A message will appear asking whether you want to quit the game. Select "No." The message will disappear, and the settings menu will return. You have just set up a multiplayer game server but do not press start.
Insert the game into the second PSP UMD drive. Start the game and select the multiplayer option just as you did in Step 1. Once you've selected the multiplayer option, search the ad-hoc multiplayer servers available and select the game that you started with the first PSP. Once you have entered the multiplayer game, remove the UMD from the second PSP and place it back into the first PSP.
Press "Start" on the first PSP and begin your multiplayer session. You are now playing multiplayer on the original PSP with only one UMD.