1. According to Orange the Bold comes with a battery, charger, SIM card (for new activations only), User's Guide, CD-ROM, and strap.
2. You can use MSN Messenger with a BB. There is a client you can download from Blackberry.com and there are also third-party apps. BeeJive
is the most popular, but it's not free.
3. Yes, MP3's are supported for ringtones/sms alerts/calendar alerts. Just be sure not to use a copy-protected file.