I got mine yesterday! The thing it wants to install is a combination of drivers and app market for games that are specifically designed to use this controller. It also came with the advertised code for Modern Combat 4, as well as free downloads of Pac-Man and Sonic CD.
The controller itself seems pretty well built. I really just had one problem: one of the battery covers(it takes two AAAs, one on each side of the back) was a bit of a pain to get back on, but that's the only major problem I've had(I seriously thought I was going to break the damn thing trying to put the cover back on). The face buttons are a bit small, but the overall layout is akin to a 360 controller, minus the d-pad, with analog nubs that feel nicer than the PSP's.
I'll post again once I've had a chance to play a game with it, but overall, not sure if it's worth full price, but for $5, with three free games, I'd say it was worth it.
EDIT: Also, the app has an annoying habit of popping up a CONTROLLER NOT CONNECTED notification fairly regularly when the controller is not connected(obvs); I'm not sure if that can be turned off, but I usually have dozens of notifications popping up from other apps anyway, so it's not that big a deal.