Usually Google Market or 3rd-party market will notify you. RockPlayer has built-in updates checking as well, please go settings and click "Check Updates". Once new version downloaded, there is a notification on top status bar, scroll down the bar and click it to install.
Feel free to drop us an email, we have put a "suggest" button in settings | About dialog, clicking it will bring out email client with reciever filled.
You need put video files onto device storage, usually it is SDCARD. RockPlayer starts up with a file browser, you may explore file system just like any other file manager to find media files. By default, RockPlayer think /sdcard is root folder, if your phone has huge built-in storage or simply doesn't mount storage at this folder, please go settings and change "Root Folder".
Yes, of cause. You may click the hyper link pointing to the video or enter the URL in browser to launch RockPlayer.
Please long press the hyper link in browser and see if there is an option like "download the link".