If you have a wireless router than you can go to Network Update on your PSP and it will talk you through connecting to your router, which will then allow you to download the latest version of the PSP firmware that is available for your PSP.
One thing to note though, if you have your wireless router encrypted via WEP or WPA, you will need to run it unsecured for the time you are downloading and upgrading as V1.52 was a bugger to get working with encrypted networks(for me anyway)
I have a Jap PSP which is now running V2.50 and it was much easier to setup with my WPA-PSK encrypted network.
If you are unsure about how to setup your PSP to work with your network, either check out other posts here or read your manual, but you should not need to do either, as Sony really have made it easy to setup.