You will need a wireless router, and you will need to know the WEP/WPA key.
PSP in hand, go to Settings -> Network Settings -> and then choose "Scan". It should find your SSID, and then basically keep hitting the right button on the D-Pad until you get to the Network Key page. Enter your network key and then continue to keep hitting right on the D-Pad until you get to the end. Save your settings, and then test the connection.