You need a wireless router. What are you using to connect to the internet at the moment? If you have a wireless router already, it may be a configuration issue. My psp connected to the router fairly easily. You just input the details of your network into the psp when you first connect.
Buffalo WHR-G54S-1 125Mbps Wireless Broadband Router with 4 port switch from Amazon. £28 or £25 used. Don't have any personal knowledge about this router but it seems to be the cheapest on Amazon. Maybe someone else can recommend something else. By the way, surfing on line with the PSP is not that brilliant. A lot of web pages don't fit well in the psp browser.I can't read these forums on my PSP for example. The RSS feed is not bad and internet radio is pretty good if you have the latest PSP firmware update. You can listen to radio wirelessly.