Hi Mans, (sorry, UK keyboard)
You can embark on an integrated course which will take you from zero to CPL(H). There are not many around. Or, you can get a PPL(H), hour build, take commercial theory exams and take CPL(H) course and test. This is much more common.
A CPL(H) is required in order to earn money but there is little, if no work, as a basic CPL(H).
A PPL(H) is a licence as is a CPL(H). Instrument and instructor are Ratings as are type-ratings which qualify you to fly the different types of helicopter.
The CAA is the UK aviation authority, JAA is European (and the CAA is part of it) whilst FAA is the American equivalent.
It is best to get licence from the country's authority in which you wish and are entitled to work.
And yes, you could easily end up with thousands in debt to train. Sadly.
Cheers
Whirls