1. In UT, Multiplayer > Start Multiplayer Game (or something). I'd go into your unrealtournament.ini, copy and paste it in the UT main folder, then edit the one still in your System folder, taking out the mutator and mod stuff (unless you're running a server specifically for a mod/mutator) in the ServerPackages section (near the top). If you have nothing better than a cable modem, you may want to keep player load size low, 6 or 8.
2. No.
3. Put a password on it (last tab when setting up server).
It is fairly critical that you have a better than 56K connection. You also must ensure that you keep up to date with patches. You may also want to get CSHP (Client Side Hack Prevention) for the enjoyment of the people on your server. It prevents against people with aimbots and such. I don't have a link handy...
If you DO leave all those things in your ServerPackages section, people will be trying to download those things off your server all the time. If you uninstall that stuff you should be fine too.