1. You need to model your areas in a modeling program. 3D World Studio is the best - it allows you to create CSG geometry and has a lightmapper included. It also allows you to set entity locations and attributes inside the editor which you can use if you use the Inca Pro loader that JoshK wrote for DBP.
Programmatically creates objects are useless for an RPG, and pretty much any other real game. They'll always look bad and are very hard to set up.
You need to download Sparky's Collision DLL V2. It has great examples and will show you how to set up sliding collision for your objects.
2. DBP will light your objects. It starts with light 0 already created. Start from there, and you can expand your lighting capabilities as you expand your game.
3. This is a very vague question. Basically, you need to use sprites. You need to make images for you GUI, be able to detect mouse clicks, etc.
4. A cool door? What an odd, vague question. Model on in Milkshape then put it in your game with whatever effects you like.
5. You need to make smaller games first to gain experience. You also need to be able to model. And, you need plenty of time and discipline. It takes a ton of work, there is no substitute for that.
6. Look at Sparky's Collision DLL. All you do is move your objects down each loop. Then you apply collision detection so that they don't go through the ground.
Come see the WIP!