How to create a PSN account?

May be...

I don't have a PS3 but I have a PSP with CFW 3.71m33-3. I'm trying to play Resistance Retribution online but it says that I need a PSN account. Am I screwed?

You need to make a PSN account. On the PSP menu just go to the Playstation Netwonk, and select make an account. You need the latest official firmware to make an account.