Instructions
Turn on your PSP. The power button is the silver slide tab located on the bottom right side of your device.
Press the left arrow key from the PSP desktop until the "settings" icon is highlighted. Scroll down to the last icon in the list titled "Network Settings" and click the "X" button.
Click on the option for "Infrastructure Mode." From the next list of options, select "New Connection."
Search for available Wi-Fi connections by clicking "Scan" on the "WLAN Settings" page.
Click on your wireless network from the list of available access points. Under "security," "WEP" means the network has a password you will need to know; "None" means it is free to access without a password.
Press the right arrow key until it says "WEP," type in the password and press "X." If it did not need a password, just save the setting. Click "test connection" just to make sure, and you will now be able to surf the Internet from your PSP.