What is the second thread on the crank for?
The lock nut is used to wedge to crank on the bottom bracket spindle.
If you open it, you should still not be able to get the crank off, at least not easily.

For square tapered bottom brackets, usually you have to use a tool called a "crank puller", which is hold in place with the outer thread.

See this article over at Sheldon Browns for details and very interesting pictures showing whats going on inside the cranks.