1) I believe the only practical way to select a single when there are many objects around is to select it through the outliner. The outliner's main purpose is to display a list of every object in your scene so you can easily access it. Try setting up a hotkey for the outliner (I use the o key) and things will go a bit faster.

2) When you draw a cv-curve it is always open. You can cloase the curve by choosing Edit Curves>Open/Close Curves.

You cannot "convert" a curve to a polygon. You must have geometry. I think what you mean is you don't know how to create geometry using curves.

To use the Surfaces>Extrude option, you must have two curves. One is the "path" curve and the other is the "profile" curve. The profile curve will be the shape of the geometry you create, while the path curve will decide where it extrudes.

I suggest opening the options box for each of the Surface commands and reading through the help files to get a good idea about what each one does.