well mine came with a english booklet explaining some things.
also a few things your questions are about.
the easiest is programs i think.
there is this site
zaurus software index with quite a few programs.
you simply download the ipk files, and transfer them to your zaurus, then click on them n the files section and a installer will be started.
NAND is as far as i know the format or method to backup the entire image of your zaurus to a medium.
upgrading the rom i don't know, i'm only just getting started with PDA's and the zaurus myself.