lets start with q4. The message you are getting is my fault I saved the obj file with groups selected. But don't panic all the objects are going to come in and be COMBINED so when you select it will appear as though they are one object.

To separate everything into individual objects pick the object and everything will turn green, from the polygon menu select Mesh>Separate and you should get a group containing all the individual objects.

You will also have a bunch of extra xxxsets in the outliner. You can just select all the xxxsets and delete them all but two will delete.

For questions 1 to 3 I think it will be easier for me to put together a camtasia video for you. This will not take me long and will be easier then trying to type up the answers. I really did not put a lot of detail in the process description so I am not surprised you are a bit confused. Not to worry. Check back here shortly...