2. Assuming you mean the clips in the Sound Vault, then yes, you can put them on your iPod (assumming you have the space of course). If you mean the 'Weird Al' songs, then again, yes you can, after you've bought them.
They download to wherever you have them download to. People set this up differently and the defaults are different depending on your OS and browser so I can't really tell you. The download dialog box should provide you with that information though.
That's because you've got it setup to 'stream' the files instead of downloading them. Right click on the 'Download' image and goto 'Save target/link as' and select a place to download it to.