PSEN pin is your microprocessor heart beat. No pulse to a memory device with code, then no life. You can use the BASIC-52 version of the 8052. This will allow you to write programs in basic. Continues power needs to be applied if you don't use an eprom though. If not, you will have to enter in the program again. There are some simple eprom programming circuits out there. That would be a good thing to build first. Then you can jump into ASM or C programming right away with eproms.

TTYL,
Dave Kaleta