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1. In what way - there's a huge thread on here with loads of advice on this. Have a trawl.
2. Open the Messages app, hit Menu->Settings and scroll donw the notification sound. Select the sound you want.
3. Download a File Manager (I recommend Astro).
Making ringtones from MP3s is pretty well-covered on the web. Did you even try google ?
Basically you need to put the MP3 you want into media/audio/ringtones (or media/audo/notifications for notifications) either on the SD card - so you can do it via USB to there - or on the internal storage. Note: if you stick it on the SD card it'll vanish (and your ringtone will change) when you mount the SD card over USB.
The syncronization issue you're seeing is probably fixable - many are. Read the thread and if you still have a problem post a question there.