Dissidia is Ad Hoc only. Meaning it doesn't connect to the Internet, only peer-to-peer. This was for a variety of reasons. Probably most important is that they (Square or Sony) didn't want to create dedicated servers for such a feature. Another is that fighting games of this magnitude might slow down considerably if played over Wi-Fi.
There are a few 3rd party PSP mods that "should" allow Internet play, but just keep in mind that they are third party. I think one's called xlink or something.
Sony is soon coming out with a PS3 mod called "Ad Hoc Party" which should allow you to play ANY Ad Hoc game over their servers.