You cannot simply copy files off a UMD. UMDs use a proprietary format with encryption; the PSP's firmware blocks direct file access.
UMD Dumper or ISO Tool homebrew.GAME.iso to ms0:/ISO/.Dumping is legal **only** for games you physically own, for personal archival (varies by country—check DMCA §1201 / EUCD). Downloading ISOs of games you don't own is piracy.
CFW also unlocks homebrew, emulators, plugins, and themes—worth it for enthusiasts.