Andy: It is indeed the 'Dump valve', located on top of the engine above the spark plugs.
Durzel: You are confusing the dump valve with a wastegate - the wastegate is located on the side of the turbo, for purpose of regulating the amount of boost. The dump valves purpose is to leak off unwanted air when closing the throttle body (to stop turbo stall).
John: The R33 GTR uses two dump valves which are located in the drivers side wing. The R33 GTS uses only one dump valve.
Won't kill the car if u run out of juice, but over a period of time you aren't doing the car/turbo any favours.
Most ppl with turbo cars are really that up on them as they just want a car, often see them turn them off without 1min idle say. If u watched Fast and furious they are all the worst ofenders for turning there cars off after ragging them, and they are mean't to fool ppl into thinking they know there stuff coz they can say NOS! lol