The USB adapter works exactly the same way as a wireless pc card - it connects the device to a wireless network. They are relatively new on the market. If you have a router already, you can use the set-up shown to connect your PSP to the internet.
In principle, you could use 2 USB wireless dongles if you have a wireless router and you are using XP as the operating system.
Whether you will be able to play your games on-line, I couldn't say.