1) UMD is a proprietory Sony format, and you cannot buy a burner or blank UMDs, unless you're a games manufacturer, which then you have to pay Sony for every game you sell.
2) You store game ISOs (backed up from your own games of course) from a memory stick, and you must of a 1.50 firmware PSP to play them from the memory stick.
3) You can find out yourself how to play said 'backed up' games.