1 - A. You can make a shortcut to the Control Panel on your desktop.
A-2 - You can make Apache and MySQL into services - they will start when the machine starts that way.
2. FileZilla is an FTP server so you can upload files to the server from a different machine or location.
3. Ummmm - I would have to say, at least at this moment, you are probably not ready to make your XAMPP install available to others. Those are 'real issues' if you were to expose your XAMPP server to the Internet. BUT, if you just want to use it to learn how things work and don't setup your router to expose the XAMPP machine, they are of little concern.
4. I kinda fudged that last answer as I don't know what you plan to do. IF you plan to make XAMPP into a webserver that is open to the public, I caution you against that idea. I have a site that discusses some of the XAMPP security issues, its in my 'signature line'.
If you could explain what you are trying to accomplish with XAMPP, I can give you a much better response.