EDIT 1: Does not work in Europe. Confirmed.
From your Home menu, scroll to the right to the “Playstation Network” tab, go down to “Playstation Home.” Download the software, yata yata yata. You will be prompted to create a personal avatar, do what you wish. Once you are done with that, your avatar will be placed in an apartment. You might want to whip out that dualshock controller (you know, that thing that never gets used) for controlling your mii. You are going to exit your apartment and download the data for the central plaza. Once in the plaza, you will go forward and to your right, and attempt to enter the movie theater, which prompts a dialogue box. Download the data for the theater. The marquee reads “Now playing: EVO 2011” or something to that effect, and the place is right next to the mall. You can’t miss it.
The EVO trailer, among other things, is playing on the television in the hall, but that won’t be where the stream is. Once the stream starts, there will be an auditorium dedicated for it and you need to go in there to watch the stream. There are also pseduo-stream monsters chatting away about fireball “spam” and asking why brawl isn’t at Evo. These stream monsters obviously aren’t on par with what you are used to, but they will have to do.