Instructions
Turn on your PSP's wireless adapter. The switch can be found on the left side of the PSP when it faces you.
Scroll down on the "Settings" portion of the main menu and click on "Network connections."
Select "New Connection," and give the connection a name.
Have your PSP scan for your network. Once the network is found, highlight it and press "X."
If your router has any security on it, such as WEP or WPA, you will need to enter the code.
Read over the connection info provided at the end. If the information is correct, confirm the connection. Otherwise, use the menu to make changes.