I just got my FireHD so, I'm no expert at any of this, and might be wrong, but anyway...
1. I don't believe there's a built-in option for that, but I know there are Apps that let you set your screensaver or wallpaper. I haven't looked for one yet though.
3. Overdrive Media allow you to download books from your local library. I haven't used it on the Fire yet, but I believe it only handles the Fire's native format, as all the books are delivered directly from Amazon.
You should be able to find an App like Montanto that lets you read epubs. I just use Calibre and let it convert the books to Kindle format for me. The two books I sent to my KFHD appeared in the carousel, but I haven't worked with it much yet.