Instructions
Update the PlayStation Portable to the latest version by selecting "Settings" then "System Update." Select "Update via Internet." Choose your Wi-Fi network and the latest version will be downloaded.
Connect your PlayStation Portable to your computer with a USB cable. Select "USB Connection" from the "Settings" menu on the PSP.
Open "Computer" and then double-click on the Memory Stick Duo.
Download the Internet Radio software from the Sony website. Select "Internet Radio Player 1" for a Shoutcast player or "Internet Radio Player 2" for a Icecast player. Click "Add the player to Memory Stick Duo media" below the player of your choice. Accept the user license agreement to begin downloading the software. Copy and paste the downloaded .prs file in to the Memory Stick Duo folder listed under "Computer."
Exit "USB Connection" from the PSP menu and disconnect the USB cable.
Open the Internet radio application by selecting "Network" then "Internet Radio" on the PSP.