1. Nowhere. See 2.
2. From the WME documentation (article called "Actors"): "There is currently no tool for designing a WME actor. You must create an actor by writing a simple text file, defining the actor's properties. But don't worry, the structure of this file isn't very complicated and you will probably need to create very few actors for your game." Besides that you need some sprites. The documentation should help.
3. Yes, WME supports videos as both cutscenes and game objects (entities). See the documentation.