1) all you have to do is take the CD and use a "ripping" program such as windows media player for example (it's under the "Rip" tab in WMP) to upload the songs to the computer. Once a song is on the computer you can use your Mp3 player software to put the songs on the player.
2) the size of the file varies depending on the quality of the file but generally as a rule of thumb assume for each minute of the song it takes up about 1 megabite. (100 megabites in each gig)
3) There are, but they are generally more expensive. Video Ipod or something like the Zen Vision
http://www.creative.com/products/product.asp?category=213&subcategory=214&product=143314) again it all depends on the movie file type, and I don't know if Ipod's require special video files to play on their machines. I can tell you that on the computer an average AVI file for a 30 minute program is about 300-400MB and a movie will run about 700MB-1GB
5) you can label the files once you get them into the "file manager" section of your MP3 player's uploading/downloading software (the player will usually come with it's own software or you can use a program on your computer that allows for syncing of portable devices). Essentially you name the files before you upload them to the machine.
6) I can't really think of anything else but I would be happy to answer any more questions