Well, I just got my new router today, and it took me around 3 hours to get my PSP online. Here's what I did. When I set up my router, I configred it on my computer so that I had an SSID, and an access key (WEP) when being connected to other systems. The thing is, even though I had these settings all down pat, my PSP bypassed them. So while I was entering my WEP key, and my SSID, I kept getting that same error message without knowing what was wrong. I finally just did the following. Hit New Connection. Passed everything else on it's default. So all I did was, click New Connection, then kept press right on the D-Pad until I was at the end. Hope this helps. If not, phone Sony. I doubt they'll help you know, they're pr*cks.
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