Instructions
Turn on your PSP and make sure all of your controllers and other wires are plugged in correctly.
Scroll down the left hand side of your screen and choose "Settings."
Click on "Network Settings," "Infrastructure" and "New Connection" in that order. The PSP will create a list of Internet connections in your area that it can draw from.
Choose the Internet connection you would like to use. This might be a neighbor's connection. It also might be a city connection, which could have fees associated with it. It should be a connection that you are able to use legally.
Click on the Internet connection you have chosen and choose "Connect." Follow any on screen prompts to finish connecting to the Internet.