You can directly import a CD. Just put the CD in select your cd and push the Triangle button and one of the options will let you import to your HDD.
With the new firmware (2.4) you will be able to use your music with SOME games. But at the current time no games out there support this. And at the moment they have pulled 2.4 while looking at reports that some had problems with the install.
You need to connect your controller by the supplied cable to one of the USB ports while the machine is on. You can also connect to any other similar USB part, e.g on your computer, and it will charge. There are also some power adapters that will connect to a controller and charge. it.