I think it doesn't work as it would do with a normal game. (Ie. By using a wireless connection)
If you want to play with friends they have to be close by, otherwise you have to have a PS3 and use the ad-hoc downloadable program from there, wire the PS3 up to your router (won't work, otherwise) and connect your PSP to the PlayStation 3 system. (Register the PSP to the PS3 beforehand, however)
Set the PSP's wireless settings as the PS3 instead of your normal internet, I think it's PLAYSTATION (R) 3 or something like that.
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