This is relatively easy but your PSP does need custom firmware. The type of java games are, well any but some work well and others don't. One main reason people do this is that you can run opera mini on your PSP using this.
Step 1: What Ya Will Be Usin'!
Hardware: A Psp ( custom firmware ONLY )
A PSP usb cable
Software: PSPKVM (http://www.pspkvm.com/(Click On Downloads)
Optional: Java Games (http://www.getjar.com/software/Sony-Ericsson/W850i)
Opera Mini (http://www.getjar.com/products/3334/OperaMiniWebbrowser)
Get these things before you continue...