GT PSP is ad-hoc only, meaning that a multilayer connection is made only in your immediate area, not online. If you want to play online then you need a PS3 with ad-hoc party.
It's an app you can download through a PS3 that allows you to play ad-hoc only games over the internet. From what it says in your signature, you already have a PS3. Ad-hoc party can be downloaded from PSN for free, so you should have no problem doing this, as long as your PS3 is connected to the internet with an ethernet cable (ad-hoc party doesn't work with wi-fi). Look in this thread for more information.
do you have to have a PS3 to get Ad-hoc Party?
Yeah, but I don't have an ethernet cable long enough to reach from my ps3 to my router.