The Playstation 3 does not support the download of mods without third-party devices. While modding your Playstation 3 with said devices is technically not illegal, it voids the warranty and it is highly not recommended to do so. Sony will not cover any damages that happen to your Playstation 3 after it has been tampered with. This includes, but is not limited to, abuse, misuse, and general alteration of the hardware.
Sony includes this in their warranty procedures because these modifications allow people to pirate video games and cheat in multi-player environments. No only are these activities a negative experience for the gaming community, but they're also illegal in most, if not all, cases.
The safest way to modify a game is to buy it on a PC. Games on PC allow for the modification of games without the risk of ruined hardware and legal procedures. There are many moddable titles that exist on the PS3 that are also on the PC. Such titles include Fallout 3, The Elder Scrolls 4, Bioshock, and Grand Theft Auto 4 to name a few.
There are many websites dedicated to collecting mods for PC games. ModDB and NexusMods are examples of such websites.