1. You can download them on your pc and transfer them to your 770 using the USB cable or a SD/MMC adapter. Just open them from the file manager to launch the application manager.
2. I can't think of anything truly necessary that wasn't included. Maybe a larger mem card if you want to keep some media on it. You can get a RS-MMC or MMCmobile (both are compatable)
3. Never tried, but you can read about it here
4. I get the same thing sometimes over bluetooth to my pc. A second attempt always fixes it.
5. You may have to export your m4a files into a more recognizable format.
This thread more states the problem without a solution