Yeah, I had some problems with it too. This is what you need to do:
Start normal PSP browser. Go to settings and clear the cache and cookies. Then go back to PSP radio and these forums and try the link I posted for Windows Live, it seems to work much better.
All I can say is delete your browser cache, switch off your psp, remove the battery, put it back and try again. The mobile msn messenger/hotmail works on both my custom and official firmware psps.