Recently, IEEE 802.11 wireless networks have been widely deployed in public areas for mobile Internet services. In the public wireless LAN systems, paging function is necessary to support various advanced services (e.g. Voice over IP and message applications) and to provide efficient power management scheme. In next-generation mobile networks, the so-called all-IP networks, the paging function will be supported in the IP layer (i.e. IP paging). When IP paging protocol is deployed in IEEE 802.11 wireless networks, it may utilize the power saving mechanism supported in the IEEE 802.11 standard for more efficient power management. However, since the current power saving mechanism is based on a periodical wake-up mechanism with a fixed interval, it is difficult to optimize the power saving performance. In this paper, we analyze the performance of IP paging protocol over IEEE 802.11 Power Saving Mode (PSM). We define a wake-up cost and a paging delay cost. Then, we study the effect of varying the length of the wake-up interval and the session arrival rate. In addition, we analyze the distribution of the session blocking probability due to the coarse-grained wake-up interval. Also, we investigate the optimal wake-up interval to minimize the total cost through simulations. These results indicate that it is necessary to find the optimal wake-up interval in order to minimize the total cost while satisfying the given paging delay constraints.