Yes, you get a 5th chapter, online mode/co-op mode and 2 or 3 new guns to use and upgrade.
If you want to use the DLC (I recommend it) you just open up the download page in the game's menu with the DLC placed in the root of /PSP/GAME - it won't load the download page because the servers are dead now but if you leave the wifi switch on and just open the page- let the browser load- then back out-- it will pick up the dlc files and install them. You can use nploader or the built-in nodrm with Pro firmwares. But you cannot use both the plugin and the nodrm at the same time or it breaks the install.
Should look like this --> /PSP/GAME/UCUS98646 and inside of UCUS98646 should be CHAPTER5.BIN, KZL.PRX and the EBOOT.PBP
Oh and yes- there's a different boss... I almost skipped answering the main wonder there too. LOL
It's got another boss iirc. But I won't spoiler it