It behaves like any other signed app that you might have installed. This implies is will have zero impact on game performance.
However, you can go to the F@H icon and hit options (triangle), and configure auto-start. Once that's done, you can quit your game, and the client will start-up in the time you gave it. \
Sony has added the the client at the OS level, so you won't find it in the store. Rather, you need to update the System Software via Settings->System Update. Once you have 1.60 or greater, you have a new option in network, right below "PLAYSTATION Store" for folding@home.
The first time you select 'folding@home' it will prompt you to download the software, which, since you are reading this, you will do ;). Agree to the license agreement, and then 'view current simulation". Hit the triangle to bring up Options, go to Identity, then change donor name to something of your choosing, and then "Join existing team", which is '4'.