First and foremost, do you have a wireless network? If you don't have a wireless network, you need to go somewhere that does (public universities, public colleges, public libraries). From there, go under the system options (in the menu, the left-most choice) and go to "Network", or something like that. From there, you can select "Ad-Hoc" or "Infrastructure". Obviously, you want the second one.
Name the connection, then go through the menus. I suggest you let it autoscan and select the best options for everything. Assuming there aren't any passwords or anything, just go through everything, make sure that the slider switch on the left-hand side of the PSP is up (so wifi is one), then let it try to connect to test the connection.
If there's anything in specific you don't understand, post up the info and what it is you're not sure on. More details are better.
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