All PSoCs have got flash memory on chip which can be erased and re-programmed. Flash keeps it information when power is removed, just like an USB memory-stick. Flash can be programmed 100K times which is usually less than EEProm is capable of.
Thank you! That makes sense. So the code from PC is loaded by FX2LP via USB and stored into flash memory on PSoC chip. Am I right?
Yes, that's right. The FX2-chip builds the USB interface to the PC and the programming and debugging interface to the PSoC5LP.
The programming of the FX2 is usually not changed, only the PSoC's flash gets updated with a new project.
Flash and EEPROM Erase/Write cycle lifetime -