I still don't fully understand why Sony made it such a pain to play Windows Media Audio (WMA) files on the Sony PSP device, but doubtless it's due to some legal license agreement with Microsoft, which owns the actual WMA file format. That's why you have to "agree" to some legal mumbojumbo to be able to play WMA files. Honestly, I prefer just sticking with MP3 audio format as it's so darn easy to use.

(By the way, you can convert WMA to MP3 format if you're so inclined. See: Convert WMA to MP3)

So, can you go to a public wireless network and use the connection to surf the Web and enable WMA on your Playstation Portable (Sony PSP)? You bet.

The trick, however, is that many wireless networks aren't just open and ready to go, but have a license and terms of services you must accept before you can use the network to connect to the Internet. If that's the kind of network you encounter, you will need to go through all the usual steps to connect to the network (see connect your Sony PSP to the Internet) and then go into the Web browser and accept their terms of service agreement before you can actually accept that goofy WMA agreement and play music on your PSP.

If you can't get that to work, try a few different places and see if you can find one that actually does have a completely open network without any restrictions. In my experience, it's about 50/50, with some cafés forcing you to agree to their "no hacking, you!" terms of service and others wide open, ready for you to immediately go online and play / have fun / surf like a madman.

Good luck and welcome to the occasionally frustrating world of Sony PSP ownership. Since you're here, you should also check out all the PSP help we have here on the site. Over 50 helpful tutorials!