Instructions
Move the directional pad to the left from the home screen to pull up the "Settings" menu.
Scroll down through the options until you find "Network Settings." Select this option and then choose "Infrastructure Mode."
Click "New Connection" on the next page. Afterward, you are presented with three options: "Scan," "Enter Manually" and "Automatic."
Choose "Scan" and wait for the PSP to locate surrounding Wi-Fi networks.
Press "X" next to your Wi-Fi network. Scroll to the right until you reach the "WPA key" option and select it.
Enter the password for your wireless network.
Scroll to the right until you see the "Test Connection" option. Select this option and let the device test your wireless connection. If the results are successful, then you can start using the PSP to surf the Web.