I just setup my brothers psp using a Netgear DG834G Router. On the router go to Wireless Settings, enter a Name(ssid), choose WPA-PSK as the security method, enter a WPA-PSK key. If there is a option for wireless access list, you can enter your psp details there, just the MAC address should be fine.
On the PSP go to Network Settings >> Infrstructure Mode >> New Connection >> enter a name for the connection > Set WLAN Settings to "Scan" > it should pickup your ssid if the router is on, choose WPA-PSK (TKIP), enter the same WPA key that you entered on the router, leave the ip settings on Easy.
