I thought wireless setup on the PSP was a piece of cake. If your router has DHCP enabled, it should be easy on both DS and PSP.
There is one downside... if your wireless network has WPA/WPA2 security enabled, you won't be able to connect to it. The only option there is to reduce the security level to WEP, or get the USB WiFi Dongle from Nintendo.... and if you have a WPA-secured Wireless Network running on Mac's, you have no option at all :^)