Just thought I'd post my experiences of this as I have the process working on v1.7 firmware
Firstly I only use PS3 Proxy by 3r1c and just set the DHCP address on my PS3 to the ip of my PC. I don't run any other software.
Duff Man's guide for the Lemmings install above put me on the right track.
All I did was have the Lemmings demo install downloaded from the link on this site selected in PS3 Proxy. Then I signed into the PS Store with my standard UK account. From there I browsed to the Lemmings demo in the store, and chose download. It should say 'activiating', then proceed to download the file from your computer. Wait for the download bar to reach atleast 1% before selecting 'download in background' otherwise it will fail. Then exit the PS store
The file seems to take quite a long time to download in the background, atleast 20mins on my setup, but once it has, choose install and it should install and run just fine.
Then to install the full activation, I changed over the selected file in PS3 Proxy to the 'Lemmings Activation download' linked to on this site. I then logged back into the PS store, chose the same 'Lemmings demo' from the store as before, and again chose download. The only problem you have here is getting it to download in the background as it is such a small file it usually errors to quickly. What I have found to work is when choosing download, just button bash the X button as fast as you can, until the grey box appears in the top right corner telling you that the demo has finished downloading. (This normally takes a few goes to work, if the download errors, just re-choose download, and button bash away until you get it to work)
Then just exit the PS store and choose to install the file again, and it should activate just fine.
Just to mention, this was the only game that required me to use this specific process, and the 'Activation' part before the download seems to be important in this case. Props to Duff Man!
Other titles such as rub-a-dub installed and activated fine using any old demo from the store.
Hope this helps anyone having probs.