Instructions
Power on your PSP and then go all the way to the right side of your cross-media bar. Then scroll down to the security settings icon (it looks like a lock and key) and then press "X" to enter the security settings application.
Set a password. Simply select a unique key using the chat input function of the PSP. The password must be longer than four characters. This password will be needed when you start the PSP, the Internet and games.
Set parental controls. Parental controls on the PSP limit the type of UMD (universal media disc) that can be played. This includes both game and movie UMDs. The parental controls use a sliding scale with 1 allowing the most content and 11 being the most restrictive. For more on the PSP's parental controls, see the Resources section for the official PlayStation parental controls manual.
Enable the Internet browser start control. Enabling this option limits whether a browser can be started without the password you created in Step 2.