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Originally Posted by HMaster92
I'm not sure but I think you have to tell your psp to connect to the ip address of your computer and eneble internet connection sharing in windows
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This is true, you should enable ICS and put a static IP on your computer's wireless NIC (for example, 192.168.3.1). Be sure that if you have your internet coming in from another connection (like your ethernet port), that the wireless connection is on a different subnet (for example, if your ethernet connection had an IP of 192.168.2.25, then you'd want to make sure that your PC's wireless connection was 192.168.x.1, where X is any number except for 2).
Once that's done, put a static IP on your PSP (for example, you could use 192.168.3.3), and they should be able to connect.
This method should work fine, except that whenever you want to go online with your PSP, your PC must be on, otherwise you'll get no network access. If you can, I'd get a router instead, it'll make life more convenient.