When you set up an account on PSN, a verification email will be sent to the Sign-in ID email address associated with that account. Simply click on the link in the email to verify your new account.
Verification emails are automatic and should arrive shortly after you register an account. During periods of heavy traffic there may be delays in the verification process.
If you have not received the verification email within 24 hours, try signing in to your account and re-sending the verification email.