I'll try to answer a few of these...
1. "Illegal Operations" generally occur when there's a memory conflict, i.e., two or more applications fight for the same chunk of memory. Windows 95 (and up) was supposed to forever resolve these kinds of issues, but they still happen from time to time. Memory issues seem to improve with each new iteration of Windows.
2. "Dr. Watson" is sort of a desktop log file that provides some insight into why your application crashed. The old doctor isn't terribly useful, however...unless you're a Microsoft engineer.
3. Ctrl+Alt+Del (a.k.a., the "three finger salute") is used to close an offending application without crashing your entire desktop. One should only use it when an application can be shut down normally.
4. When you ask about "plug-ins", I'm assuming that you're talking about web sites that invite you to install plug-ins while browsing their site. If so, most of these are free (with the exception of the time it takes to download). Plug-ins are usually components that allow you to run Java applets, special effects in Macromedia pages, etc. If you want to view plain content on a page and don't need all the special effects (streaming video, dancing babies, twirling stars), then don't download the plug-ins.
5. Some downloads require manual installation after the file has been successfully transferred to your hard disk. Make sure you read all the instructions before commencing a download. And always make a point to note where the file has been saved on your hard disk.
6. Dial-up services (POPs), such as AOL, provide variable connection speeds, which tend to get upgraded and improved over time. The quality of your telephone line, however, can also affect your connection speed.
8. There are lots of evil things that hackers can do to your PC while you're online. If you are online for long periods of time, I would suggest that you consider installing a firewall on your PC. Firewalls can prevent a lot of mischief. There are some shareware/freeware firewalls out there, such as Black Ice. You might want to shop around.
9. There are lots of Easter Eggs out there. I think that they're created out of a sense of pride in what the programmers have created. It's a "look for the union label" kind of thing.
"If I don't manage to fly, someone else will. The spirit wants only for there to be flying. As for who happens to do it, in that he has only a passing interest."
- R.M. Rilke