I'm running a US iPhone that I upgraded to 1.1.1 (the original version of this firmware, as they changed it ever-so-slightly without changing the version number) in the UK with a T-Mobile SIM and it works perfectly.
I've installed some 3rd party apps too, which are quite cool (gives me the ability to email photos at full size, download podcasts directly to the phone via WiFI etc).
Upgrading from 1.0.2 to 1.1.1 isn't for the feint hearted though, as it requires you to choose the right version of the 1.1.1 firmware and also the right upgrade procedure (out of tens of differing "how-to" articles).
I found the correct firmware, then I think I followed this article (from the point of the iPhone being in a virgin 1.0.2 state, as mine was box-fresh):
http://www.hackint0sh.org/forum/show...irmware+iTunes
Anyway, back on-topic, I've used a Mac for the past year or so and the list of questions posed by the OP were exactly the same questions I had at the beginning. Hopefully you're now getting to grips with the Operating System?