I think I got Xlink Kai working, took me over an hour to figure out what to do though. Would've been a lot easier if my computer was connected wired for internet.
It's kind of weird setting up for Xlink Kai, you will need an computer connected via Ethernet/USB, and an wireless (card or USB) for the PSP. Some work, some doesn't as I was told, but luckily, the one I have worked. The way I have connected was having my Laptop's wireless connect to the internet, and my USB wireless connect to my PSP.