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.
Nokia 3210 -> Nokia 6100 -> Motorola V500 -> Panasonic X700 -> Nokia N70 -> Nokia N95