How can I enable cookies on my PSP?

I recently acquired a PSP, but I'm having a little trouble figuring it out. When I go online to watch videos or similar things, the system told me I needed to enable cookies. I did that, tried again, and this time the memory needed to be switched over to conserve memory. After preforming this task, I tried another time but I still can't watch vids. Is there something I'm doing wrong or not doing that I should be? Thanks.