1. It's not an option you can set - music WILL come out of the speakers as soon as you unplug headphones.
2. Doesn't really matter - you just have to get the music files onto your memory stick using any way you like. I just plug the microSD card into my computer and copy the songs I want to a folder called Music.
3. No. You can get other 3rd party music players though.
4. When you open Music Player, hit Options (left soft key) then Refresh.
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Nokia 3210 -> Nokia 6100 -> Motorola V500 -> Panasonic X700 -> Nokia N70 -> Nokia N95
i dont have refresh under options...........................
You are not on the first screen in Music Player then, keep hitting Back until the right soft key becomes "Hide", at that point there should be a Refresh under Options.
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Nokia 3210 -> Nokia 6100 -> Motorola V500 -> Panasonic X700 -> Nokia N70 -> Nokia N95