Did you use the PSP to go to the SC website to enter the code? If you did it from the computer you'll get instructions on how to unlock it manually, as I understand it.
Following are both procedures to unlock all three bonus missions:
To Unlock All bonus missions:
Go to splintercellessentials.com on your PSP's Internet connection, select "PSP User", and enter "A27200203S" as a code.
OR to get the Bonus missions manually:
At the bonus mission screen, hold Select and press L, R, L, R, L, R. Repeat the code to unlock the next bonus mission. The bonus missions are "Paris-Nice", "Heroin Factory", and "Television Free Indonesia".
Bonus Mission Codes
Enter the following at the bonus mission screen (you have to enter the code each time you want to play the mission):
Hold Select and press L+R three times Unlock Television Free Indonesia
Hold Select and press L+R three more times Unlock Heroin Refinery
Hold Select and press L+R 12 more times Unlock Paris-Nice