I'll explain the UMD for you. It's a miniature disc, probably similar in how it works to a DVD or CD, but it's not standard. The UMD stands for, I believe, Universal Media Disc (which is ironic, since as far as I know, only the PSP and maybe other Sony products can use it). It's a proprietary format, and although Sony has considered opening it up, it still wouldn't catch on too much, except with the PSP crowd. The only movies one can play on it are the ones sold as UMD movies, specifically for the PSP. I don't think there is burning hardware or software for it (yet, anyway).
I do suggest you try out playing a DS. It's actually quite well executed in my opinion. There aren't that many really great games for it yet (thankfully it
can play GBA games though), but it has potential. Supposedly Warioware is a fun game. I can tell from personal experience that Mario 64 DS is fun. The minigames are especially entertaining (which is what Warioware is mostly - minigames, and lots of them).
Personally I hope that Nintendo gets in gear and releases some good RPG games for it. Rumour has it that there's a Baten Kaitos game in the works. Baten Kaitos is a GCN game that is very beautiful a game, both the graphics and the gameplay. Also, more confirmed, is Animal Crossing DS. Animal Crossing is quite an amusing game. Although not for everyone, it's pretty fun. So currently, the DS's game lineup is pretty weak. But the GBA games and the potential for great games makes up for that in my mind.
I'm sure the PSP is a good piece of hardware, but over $300 (CAD) portable system just doesn't do it for me. I haven't even paid that much for a console. Of course I am a pretty big Nintendo fan. I've got several Nintendo systems lying around home... SNES, GB, GBC, N64, GBA, GCN, DS. The SNES even still gets some use.

Although not as much as the GCN or DS (often playing GBA games).