Well, you can't be thick, because you posted in the right section! (More than some people manage...)
We'll disregard the PSP for a moment, as that is probably going to be a special case re setup.
I can provide you with instructions detailing the correct procedure for securing Belkin routers (though it is compiled for the 76 series modem/routers and thus differs slightly on a coulpe of points)...
But firstly, some more info. We'll need to know whether each client PC has XP Home or Pro and what firewall is installed on your son's PC. Can you also tell us whether you installed that USB adapter with its proprietary software or with only a driver (ie, controlled by Windows)?