Once you come up with an idea of a theme start in one of two areas....either the windows section or the taskbar section. I like to start with the windows section, but other skinners build their start menu first and base everything else they do off of it. Don't worry about toolbar icons or animations for now. Get comfortable with the basic stuff first. So you want to build a skin that covers these areas...
1. Windows and Controls
2. StartMenu and Taskbar
3. XP Shell
And to answer your questions....
A and B....when you adjust sizing margins, everything outside the margin will paint on the screen pixel to pixel just as you drew. Everything inside the margins will either tile or stretch depending on the painting option you choose. When you a piece of your skin from the preview window, like the titlebar, in the bottom section of the program you'll have the option on the left side to set your margins and the option on the right side to set how everything in between the margins will paint.
C. I don't know what you mean on this one.
D. Every image titlebar, buttons, etc. has different states/frames (usually tiled horizontally) within one image. The Help tab in the bottom left-hand corner will explain it to you and whether the image is mandatory or not. Generally if your using the Blue XP skin and SkinStudio provided a image to work from, then it's mandatory. There can be up to six different states/frames for buttons and sometimes I have to move them around after playing with a skin. Something I thought looked okay as a pressed state ends up looking better as a mouseover state. It's all trial and error and the more you do it the easier it gets. Again don't worry about animations, compact menus, etc. right now. That stuff will come pretty quick.
Once you get a skin up and running, if you want I'll be happy to test it for you to find any bugs in it and offer any help I can give. Skinning takes time, you can't just sit down and crank one out in one sitting at the computer, unless you got the ability to sit there for 36+ hours straight with no sleep or eats
I do a couple of parts or so a day and then I create a part that looks different and maybe better than what's already done, then I have to go back and change a lot of things or dump the whole skin and start over with the new idea.