It probably doesn't know your DNS servers, i've seen somewhere in the Settings(in psp) for your connection "Enter DNS servers" or something like that
To find out your DNS servers go on your computer, the one you connect to, doubleclick on your connection in the taskbar, go to Support tab and click on Details. You will see couple DNS servers there - enter them in your psp...

*edit* yeah, in your connection options there is "DNS Setting" - choose Manual and enter ips Hope it helps