Hi - if the PSP is still under warranty, return it for replacement.
If you don't want to do that, then there's a guide to opening your PSP up here:
http://www.llamma.com/PSP/PSPTearDown.htm
Doing this involves removing a label that invalidates your warranty though, so your choice!!
I would guess that there's just a bit of friction in there - try cleaning the plastic switch part and look for any left-over plastic 'pips' from the molding process. If you find any, file them off gently.
Hope that helps you!
Blackhole, February 2007