1. Firmware is not cross compatible so you would need an update from the manufacturer for your specific player. Updating with just any other firmware will most likely brick your player. Updating will not add any new features etc so you are best to leave it as is.
2. You can not add games they are encoded into the firmware.
3. Try Project Gutenburg for ebooks:
http://promo.net/pg/
4. You would need to try a .ogg file on your player if it is not recognised by your player then your player does not support the format. No way of adding support.
5. .wmv video format is not supported.