1) The prettyphoto.css file contains all references for the lighbox skins (dark rounded, etc.). You just need to include /prettyPhoto/css/prettyPhoto.css and /js/prettyphoto/js/jquery.prettyPhoto.js
2) The aviaslider css code is correct. If your image list uses the class "aviaslider" (which it does atm) you can use the css code you posted above.
3) The image html code seems to be correct (however I think the closing ul tag is missing) but you need to change the image paths - they must point to existing images on your server. You can insert the paths directly ("hardcode them") or use the "bloginfo()" function I posted above to use relative paths (can be an advantage when you want to move the website one day).
4) Yes - most users buy wp premium themes which work out of the box. They save you a lot of time and (if your a web designer) a lot of money too. Even I wouldn't build my website from scratch but I'd just modify other premium themes. However because I wanted to learn something I developed one theme by myself too.