We have a tutorial on our page which explains how to setup XLink KAI to work with your PSP to allow online gaming.

You can check it out here: http://www.psp-hacks.com/psp-online-gaming.php

This uses the custom firmware/router technique.  There are others which involve using a wireless PCI card.  Unfortunately I do not have a wireless NIC to test, below are the supposed steps:

First setup up the PSP:
- Under "Network Settings", select "Ad Hoc Mode" and use CH 1.

On your PC:
- Head to "Network Settings"

- Go to the "Properties" of your wireless network connection

- Select "TCP/IP" and use the following information:
      IP: 10.0.0.1
      Subnet mask: 255.255.255.0

- Click the "Wireless Networks" tab at the top of the dialog box

- Select "Advanced" and tick off "Computer-to-computer (ad hoc) networks only" and "Automatically connect to non-preferred networks"

XLink KAI:
- Load up the XLink configuration tool

- Under "Network Adaptor" select your wireless card

- Start the XLink GUI

Now, to play:
- Enable your wireless card

- Switch on your PSP and fire up any XLink supported Ad Hoc game

- Your PSP and Windows PC should be able to talk with each other

- Select an arena that corresponds to your game.  And play!

Please remember this is untested as I do not have a wireless NIC to play with.  If I missed a step, or made a mistake, please correct me.

Any questions with regards to the router method, ask away.  I was able to successfully get this working.

Enjoy!