Sony have launched a new firmware for the PSP. This will update your PSP up to version 3.0 now which has a number of enhancements and no doubt, a number of security fixes to stop you homebrew folks from making it do stuff it wasnt designed for 
The PSP once updated will have the long awaited PlayStation Network connectivity as well as PlayStation 3 connectivity.
Complete PSP 3.0 Update List:
* PlayStation Network support added under Game
* Online manuals added under Network
* Camera added under Photo
* UMD Auto-Start added under Settings
* 3-Speed Fast Forward/Reverse added under Music
* Visual Player added under Music
* Remote Play added under Network
To upgrade, just go to the network update menu and follow the instructions.