I thought the PSP only took MemoryStick? Being a Sony product... Sony can't be bothered to use standard formats for any storage media, they always come out with their own proprietary version.
If you shoved an SD card into a MemoryStick slot, good luck... heh. You might have damaged the slot/device. And yes, undoing the screws could easily result in damage, since the average end-user isn't skilled in ESD-control. It's meant to only be opened by people in ESD-safe work areas with anti-static mats, wrist-straps, special tools, etc.