If I understand correctly, your "main" PC has both a "wired" and a "wireless" network adapter installed and connects to the internet via a USB ADSL modem.
If so, and provided it is running Windows XP, you want to "bridge" the two network adapters and then enable "Internet Connection Sharing" on the actual Internet connection (the modem connection). To bridge the connections, select both, righ click and select "Bridge Connections".
To enable “Internet Connection Sharing” in Windows XP, open the Network Connections folder, right click the actual internet connection (modem connection), select Properties and then the Advanced tab. Tick the box “Allow other network users to connect through this computer’s Internet connection”.
When you enable “Internet Connection Sharing” on the Internet connection in the “host” PC, it will automatically configures the Network Bridge with the IP address 192.168.0.1 and subnet mask 255.255.255.0. The “client” PC’s Local Area Connection and the PSP's Wireless Adapter should be set to get their IP addresses automatically, which they do by DHCP from the “host”. Also, if you run the Zone Alarm firewall in your “host” PC, the Internet Zone Security level must be reduced from High to Medium or “ICS” traffic will be blocked. In any case, firewall software needs to be configured to allow access to the networked computers.