Google is your friend. At random:
I suggest before you start you alter a few default settings. For example, open Tools>Options and on the rip tab deselect the option to "Rip automatically when CD inserted" and select the type of file you want to rip to. (MP3, WMA and the audio quality)
In answer to your questions:
1. This depends on the OS. In XP by default its the My Documents/My Music File of the user. In Vista and Windows 7 it`s the users Music folder.
2. In the Library you can make various personal choices to categorise the Albums and Tracks, make your own playlists, rate tracks etc This does not actually physically move the audio files at all.
3. Long time since I did this but when you rip you get a full list of all the tracks that are ticked by default. Untick them if you don`t want a particular track. The guides above show you more advanced options. There is a Cancel button if I remember.
The majority of players work on the same principle. I personally use WinAmp because I have all my music on one 250Gb external drive to which I point both WMP & Winamp to monitor and use rather than the defaults mentioned above. This setting can be changed to add other locations if necessary.
The key to having all the album art and correct track listing is to check each album, preferably as you go along, that the player has correctly assigned both. Obviously you must be connected to the internet to do this and you can manually correct either. (Sometimes a Laborious process)