Adhoc mode is used if you and a friend are sitting next to each other and want to play together... (ie direct connection)
Infrastructure is when you connect up via a wireless access point. This is so you can play over the internet which is supported by a few games, Fifa 06 being the best imho.
Games for the PSP I have:
Fifa 06 - DAMN good fun
Virtua Tennis - Sucessfully replaces Fired Up which is a pile of crap
Everybody's Golf - on loan to a friend - VERY good/fun game
Toca 2 - Pretty good fun... Physics aren't spot on, but good balance. FMV is good quality.
WRC - Haven't tried it yet - but it supports Infrastructure like Fifa does...