Yea you need to use your PSP's wifi to a wireless router make sure ur psp mac adress is alowed in teh router and make sure you have the right pw then just folow teh instructions
There isn't that much point to getting wireless just for the psp. The psp browser only supports 3 tabs, and you will get pisse doff with the nub. Also, WEP security is almost worthless. It will keep anyone from browsing on your network, but WEP cracking is easy and common nowdays.
I wouldn't bother getting on the internet if I were you. The PSP's web browser makes the fastest connection slow as dial up.