1. Yes, you can. Although, they'll need to be .x--if you only have access to .3ds, there's a converter in a sticky in the Models and Media board. I'd assume "haw" means how--you'll need to copy the files into the "entitybank" in the core FPSC folder, and make an .fpe for it. The best way to do that is copy an existing .fpe from a similar object into another folder, rename it, open it and change what is needed, and then copy it back.
2. HDRI? Skyboxes, yes. You need to have a .dds texture and a .x (I believe), and copy them into their own folder in the "skybank" folder.
3. Of course you can! In the Build Game menu, you just have to select "Add Level" and select the levels you want to use. The best way to have intro movies is to use a Storyzone and place it right where the Plr Start Marker is.
Evil has a new name. Demo out now!