1. # represents the number of people who your search found have that file.
2. Up to you. If you're going to burn them, then most popular burner programs will happily convert them. It's the most popular format for portable devices & on computers. m4a/mp4 audio is the newer format which has improvements.
3. It will be easier to set speed settings if you choose modem connection.
4. Bit rate refers to the mp3 music. It ranges up to 320 kbps. The higher the better the quality of the encoding.

4 contd- The higher the bit rate, more space it takes up. 128 is CD quality so I usually go with that