First off, Fenny ol’ chap, hie thee to Balmorra, which will most likely be your center of operations for a while. Join the Fighters and Mages guilds, and they’ll send you on quests (the Fighters Guild quests are easier for beginners).
Yes. There’s a hotkey that will switch from “weapons” to “magic”. If you have the default status display set up, you should see a little box next to your weapon icon that will display what spell you have loaded. In your character display, the menu on the lower-right of the screen will display your spells. Select the spell you want from this menu.
Nosirree.
A good place to start would be http://www.morrowindfiles.com/ They’ve got a huge listing of mods to utilize. I would suggest the Adventurer’s 1.7 mod, as it allows you to increase the difficulty of the game (it gets REALLY easy when you reach level 25 or so). Also, there’s a mod that will cut out some of the Cliff Racers, which are an enemy that will get VERY VERY annoying throughout the game.
Well, their powers are never very strong. For example, Racer Plumes supposedly grant “levitation”, but it’s a very weak levitation that only lasts about a second. The best way to utilize the powers of reagents is to turn them into potions, which requires a bunch of alchemy equipment. You can find a full set in the tower of the Mages guild in Caldera.
Remember, you were given a package and directions to a man named Caius Cosades, who lives in Balmorra. Before you give him the package, though, I would suggest you do a few side-quests. Again, start with the Guilds in Balmorra.
You don’t need the pillow to rest. Simply press the Rest hotkey (whatever you set it for), and as long as you’re not inside the city limits of a town, you’ll get a menu that will ask you how long you want to rest. If you are inside the city limits, it’ll tell you “Resting here is illegal,” and instead you’ll have the option to just “wait”.