1. What program?
2. Yeah, it's possible to remove the firmware from any psp.
3. The same things you could do with a brick or paperweight. Use it to hold papers down on your desk. Maybe throw it around.
You should seriously so a lot of research about this stuff before you even attempt to do anything other than put UMD's in your PSP.
The PSP's firmware is the operating system for the PSP. Like windows. If you put a completely blank hard drive in your computer, your computer wouldn't do crap. Same for the PSP. What I think you are getting at is hacking your PSP. The firmware as-is will not do anything. You need to install custom firmware which requires copying over Sony's firmware with a modified version of it that DOES support non-Sony approved applications.
google is your friend, as is this picture.
![Image](http://img23.imageshack.us/img23/3536/themoreyouknow.jpg)