1) Polygons > Smooth will smooth polygonal geomtry. There's also SubDs.

2) Most people use the GI_Joe MEL script to fake Global Illumination.

3) It's just a preview.

4) Edit Polygons > Subdivide

5) Not necessarily, but they don't work right all the time.

6) We've got a few tutorials going over this here and I have a brief freebie at my personal site.

7) A warning is just an FYI. It doesn't mean anything is wrong. An Error, on the other hand, is bad.