Starting out, the best advice anyone can give you, is to make sure you read the manuals. I'm not sure which PzC titles you own, but make sure to go to the HPS updates section
http://www.hpssims.com/Pages/Updates/up_...es_PZC.asp and download the Bulge'44 PDF file. The PDF download contains the most up-to-date manuals for the whole series. Using the Bulge PDF manuals, even though you may not own the Bulge'44 game, will not cause any problems. There is alot of information in them. The manuals are written to cover the whole series not, just one game, by itself.
Also when starting out, only play small to medium sized battles. Trying to play a 200 turn, large sized map battle, with a 1000+ units is not going to do you any favors, when trying to learn the game system.
Yes, you will be required to select units, in order for them to move, fire, shoot, etc. If you are playing a small to medium sized battle, it may take a few minutes. Of course it will take longer, if you are just starting out. The more you play, re-read the manuals, and ask questions on the Blitz forum boards, the quicker and easier the learning curve will be. Also, don't rule out playing PBEM games from the start. There are club members who have patience and are very knowledgeable about the game system, who visit these boards on a regular basis, and finding someone to help you get started, will not be a problem.
Hopefully, you'll find like alot of us have found, that you will really enjoy the series, make some new friends through PBEM games, and find that you can't get enough of these games. If all goes well, you may find yourself someday, helping some else get started in the series.
I'll let some of the other members cover some of the other questions you asked.
Good Luck!