Hey!!
Congratulations for getting the N900, you'll LOVE it!
Sure you can remove the protector film. If you want my advice (people will be bashing on me for this), don't use the stylus until you get the actual screen protector! Some people experienced very small scratches because of the stylus (or keeping N900 in your pocket, with keys and coins). You can use it with your finger, no problem!!! Don't worry about it. The screen is also easy to clean.
First, yeah, connect to the internet and install the firmware updates over the air. Very easy to do.
I'm very careful with my device, so I can suggest you a couple applications that are REALLY safe, I have never experienced problems with my device. Absolutely never, not a single reboot!
First, you should install Pidgin, which is in maemo-extras now I think. You can also download the dataplan monitor which is very useful. The desktop command application is also very nice if you want to monitor battery % and other stuff, but if you want to check battery % you can also go in X Terminal and write: lshal | grep batt
If I may also suggest you don't download widgets that always refresh, since they drain battery fast. Meteo widgets are ok (OMWeather), but do not install facebook widget. Anyway, it isn't useful.
If you have other questions, feel free to ask, I'll watch this thread if I can help!
Have fun