To get yourself gaming online with the PSP you need to set up a connection in Network Settings at the bottom of the Settings menu. You will also need a wireless access point such as a wireless router for the PSP to connect to.
For most going automatic with the settings will do. Depending on your particular set up you may need to put in specific information like the router's IP address, DNS servers, subnet mask and the PSP's IP address (if one is set up on the router just for it).