It can be a bit of a palaver getting the whole thing going. First, if you want to play over the internet, you need to set up a PSN account (if you don't already have one). Then, either way, you'll need the latest firmware for your machines, so do the update thing if you haven't already done so. Then, connect your PSP to your PS3 by USB cable and select 'Register Device' from the settings menu on your XMB. Once done, the two will be able to talk to each other.
Above: You can set the PS3 to switch on and off remotely, but not all home routers allow it.
There are other options available from the PSP's Home menu, such as button settings - crucial for games that need all four PSone shoulder buttons (hint - assign them to the analogue nub instead). You should see an option that says 'PS Button'. This mimics the PS3's 'home' button tobring up the menu you would see if you were just playing the PS3, and not the PSP's home menu. So you can quit out and look at something else on your PS3, listen to music stored on it, or load a new game (if there's someone to switch discs for you).
