Why do I want this?
This gives you the ability to load custom ROMs. Without it, you are limited to the stock ROMs from your carrier and HTC.
How do I get into the Bootloader Mode Screen?
Option 1 - Press and Hold the Power and Volume Down buttons and use the stylus to reset your phone while holding those 2 buttons.
Option 2 - Completely power down your phone (i.e. take out battery). Press and Hold the Power and Volume Down buttons until the phone powers on in the boot loader screen.
To get out of it, simply use your stylus to reset the device.
Can I remove it?
Yes, and you should if you are returning it for any type of servicing. Instructions and
Downloads are in the link I posted above.
Will this Hard Reset my Touch Pro?
No, but it never hurts to backup your data first anyways.
Where can I get a custom ROM
at this forum itself