Photo of my desktop - Can you explain a few things

Here's a screen grab:



Now, some obvious (for a Mac user) questions

FIRSTLY:

On the right hand side, half way down is a icon for a networked drive called "DOWNLOAD"

1: Is it possible to have this Always on the system, as when I shut the imac down and restart it, the link to the drive has gone?
2: If so, is it possible to have the link in another folder (not the desktop)?
As you can see I have a folder near the top called "Piggie PC" which is my networked PC, and i'd like to have permanent links to networked drives in that folder.

SECONDLY:

On the right hand side again, you can see thos white icons that look a bit like drives. You can right click and "eject" them.
What's this all about?

I have a MSN messenger icon on my bottom menu bar, and when I click to load up MSN mesenger, I also get this white drive icon appear.

I don't get the concept of these things. Can anyone explain what these are all about?

THIRDLY:

In the middle window, the "Public" folder.
Is that the only one you can share?
In windows you just right click any folder and select it to be shared on the network. Does not seem the sameon the Mac?


Thanks.
Sorry if my questions seem a little basic, but I'm trying to understand how this all works.

Well the rest of it im not sure about, but as far as the white drives go, double click on them to open them. Then drag whatever is inside of it to the applications folder on your hard drive. When you open the drives there is almost always a graphic saying to drag to your applications folder. Remove the icons in your dock for those programs and go to the applications folder and open the program, it will reappear in the dock, Ctrl + click the icon and click keep in dock.

Basically what those drives are, are virtual disk images, having them is like downloading a .zip file and running the program from the zip file. To install those programs you need to actually take them from the drive and put them onto your hard drive and they will be installed. I hope that was clear enough to understand, if you have any other problems just post it and it will get answered.