Is there a way to load/unload a firmware manually?

[Mikhail Morfikov <mmorfikov@gmail.com>]

Basically there's an option to load/unload a kernel module via modprobe and 
modprobe -r . Is there a way to do this with, for instance, WiFi firmware? 
Also, what happens to the loaded firmware when you unload the corresponding 
module? And another question: when I compile a module into the kernel and 
that module needs some firmware -- can this firmware be loaded later and 
make the hardware work properly, or this can't be done and you have to 
include the firmware in the kernel image itself?