Due to the firmware that comes installed on every new Sony PSP, certain functions are not possible. A "locked" PSP will only allow you to watch movies and play games that are on the original Sony media. Using the Pandora battery to unlock or "unbrick" your PSP makes it very much more versatile.
For detailed information on what the Pandora battery does, how to use it, and how it can benefit you, check out this article. Keep in mind that using products such as the Pandora battery that are not endorsed by Sony may potentially void any warranties associated with your device.