1) Yes you need to create a page. Go to Pages > Create new
You can call it as you like, choose fullwidth template for it (right sidebar in post/page editor) , etc. - then you need to add featured images to it (right sidebar, there you'll find a featured image upload/insert field).
By clicking on insert image you can choose an image you like from your media gallery or upload one. By clicking on the + symbol you can add other featured images which will be displayed in a slideshow.
The columns are made via shortcode - the syntax looks like (avisio frontpage example):
[one_fourth]
<h3>Flexibly Frontpage</h3>
[dropcap2]1[/dropcap2]nean commodo ligula eget dolor. Aenean massa. Cum sociis natoque penatibus et magnis dis parturients mus.
<img class='noborder ie6fix' src="http://dl.dropbox.com/u/2025095/alwaysonline/avisio/iconsets1.png" alt="1" />
[/one_fourth]
[one_fourth]
<h3>Unlimited Skins</h3>
[dropcap2]2[/dropcap2]nean commodo ligula eget dolor. Aenean massa. Cum sociis natoque penatibus et magnis dis parturients mus.
<img class='noborder ie6fix' src="http://dl.dropbox.com/u/2025095/alwaysonline/avisio/iconsets2.png" alt="2" />
[/one_fourth]
[one_fourth]
<h3>Content Importing</h3>
[dropcap2]3[/dropcap2]nean commodo ligula eget dolor. Aenean massa. Cum sociis natoque penatibus et magnis dis parturients mus.
<img class='noborder ie6fix' src="http://dl.dropbox.com/u/2025095/alwaysonline/avisio/iconsets3.png" alt="3" />
[/one_fourth]
[one_fourth last]
<h3>Shortcodes</h3>
[dropcap2]4[/dropcap2]nean commodo ligula eget dolor. Aenean massa. Cum sociis natoque penatibus et magnis dis parturients mus.
<img class='noborder ie6fix' src="http://dl.dropbox.com/u/2025095/alwaysonline/avisio/iconsets4.png" alt="4" />
[/one_fourth]
2) You can create your own menu under Appearance > Menu - you can link to any page/post/category or website you like.
3) You can set the slideshow options under Habitat Options > Slideshow Options. Set "Featured Image Option" to "First entry..."