Your PSP will only work with a wireless connection so you will need to buy either a wireless router or a wirelss USB dongle. The wireless router works like any other router but it accepts wireless connections. The USB dongle is cheaper than a wireless router and can bridge the connection between your PSP and your regular computer.
First you must set up a wireless router with your DSL line. This should be simple enough but ask a technician for help if you need it. Then on your PSP you can go to network and setup a connection with your wireless router.