this all depends on which part of the world you live in but generally you can make backups of any copyrighted material you own provided they are only for your personal use and you retain ownership of the original.
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It is possible to play PS2 games on a PS3 game system. You cannot play PS3 games on a PS2.
Project 64 is not illegal on its own. It is downloading games that you don't own that is illegal. If you own the original games, however, I am sure it is not illegal.
most are illegal if it is pirated. Although some places do offer free online games to be downloaded. But most online games have to be paid for to be downloaded. So it might be illegal depending on where you got it.
PS2 games are not for the PC and are illegal to download
The reason behind the jailbreak is sometimes theft of software (PS3 Games) and that is illegal.