First of all to run your software  like other windows softwares, you
have to make a JAR file. Not a normal jar, but an executable  jar
file, it runs  simply by double clicking, just like an exe, not going
to a dos  prompt.

Description of making such a file  is on java  site, if still not
hapy, let me know,ill tell details.

And answer to your Question 4

For sound  programming, use javax.sound package, its real good,
started coming with jdk1.4

And yeh, dont forget to take a look at JMF (Java Media Framework) u
can program  even video and other media ...