Ok since afterdawn forums wont let a newbie reply to any thread over 60 days old, I had to start a new one.
Most of the threads about this are from 2006, but yet I still had this problem so I know others are too.
I actually found the solution elsewhere, sorry afterdawn.
And since I like you guys, and get most of my info from here I thought it best to post one solution concerning this.
The problem with people who own a Wireless-G Broadband Router WRT54G (like me) is that they follow the directions and still get a message saying they cant connect.
BELOW IS ONE SOLUTION, your individual problems may not match this.
The problem was that the PSP is an B-Device... and in the 192.168.1.1 configuration page... I had "Only Accept G connections"... I turned it to, MIXED. now I still have security on my router and can connect PSP to the net.
To access your routers security features, open your pc's browser and type in 192.168.1.1 No http is required, this will bring you to the security and configurations page. (assuming you use this router for your pc) Default login and password is ADMIN / ADMIN, see you router manual.
On the router admin section Go to Wireless section and see Wireless Network Mode: choose "MIXED" and save.
This is for the Linksys Wireless WRT54G model.
I cant say for other models.
Some people have been disabling thier security in order to connect thier PSP to net, not smart!
Now everyone can do this and be safe!
Hope this helps someone.