Here follow this guide. If this doesnt work let me know at what step you get an error and what the error code is. from there i can assist you further with your problem.
step 1 Your PSP will detect any wireless wireless network within its range as long as the wireless
adapter is switched on. The switch for this is on the left end of the PSP, near the analogue
thumbstick. If the switch is in the down position, the wireless network adapter is off; push the
switch into the up position and it'll turn it on. If you're not going to be using wireless
networking it's a good idea to keep it turned off as it'll make your batteries last longer.

step 2 When you turn on your PSP's wireless adapter it'll look for any wireless networks nearby. If
there's another PSP within range it'll automatically set up what's called an 'ad-hoc' network
between the two. This will enable you to play multiplayer games between the two PSPs with one
hosting the game and the other joining it. When you want to join an existing wireless network,
such as when you want to browse the internet, you'll be using an 'infrastructure' wireless
networking mode.
step 3 To connect to a wireless network, go to the home screen of your PSP and look under Settings. If
you scroll all the way to the bottom you'll find Network Settings, so enter this and on the next
screen you'll be asked to choose between Ad-Hoc and Infrastructure, so pick the latter by
selecting it and pressing X. Press O to return to the previous screen. You'll need to set up a
Connection. You can save the settings for 10 different Connections and you can choose between the
Connections you've set up whenever you need to use the Infrastructure network mode.

step 4 Pick New Connection and press X. You can give the new Connection a name by pressing X and using
the text-entry screen. Give it a descriptive name like 'Home Network' or 'University Network' so
you know when and where you can use it. When you've entered the name for your new Connection
you'll be asked whether you want to scan for WLAN settings or to enter them manually; select the
Scan option and press right on the directional-pad. Your PSP will then scan the area for any
available networks and collect the settings needed.

step 5 A list of available networks (called Access Points) will be displayed, giving its name (called an
SSID), whether it's encrypted or not and the signal strength. If there is more than one network,
use the D-pad to scroll down to the one you want to join and press X. You'll be asked to confirm
the settings so press right on the D-pad to scroll through each. When you get to the security
settings, choose the appropriate setting from the list, which is WEP in most cases, and press
right on the D-pad again. If you need to enter the WEP key, speak to whoever runs the wireless
network and they'll provide it for you. Press X and enter the WEP using the text-entry screen.

step 6 Once you've done that you can check the settings you've entered on the final screen and save
them. Now you'll be able to connect to the wireless network. If you return to the main home
screen you can now update your PSP's software by going to Settings and selecting Network Update.
Alternatively you can go to the Network section on the far right of the home screen to browse the
internet using the PSP's in-built internet browser. Or you can fire up that multi-player game
you've been itching to try out and get going!
Now you're online, if you need further assistance or get an error code please let me know and i
will be glad to assist you further. Thanks-Midwest-tek