Hello! Welcome to the forum, and glad you're looking forward to the Reader
1. You can download the program
here in advance. Probably better

2. No, you won't need to install Calibre first; however, it's better if you download Adobe Digital Editions and sign up with an ADE account (it's required for DRM-ed ePubs). But Calibre is good

3. It depends heavily on the store. For example, ebooks.com never gave me weird notices (publisher doesn't want to sell the book in my area and so on). Booksonboard, while far better priced, sometimes gives you this message. Fictionwise does (but allows you through their Micropay system to contour partially the restriction). As for Sony, you got a PM arriving from me (yes, paranoid!). Take care, if you're not in the UK, that WHSmith decided recently to put up barriers for at least some books in their catalogue
even for Continental Europe. Waterstones doesn't, at the moment.