1) Terrain doesn't (at least not that I know of) cast shadows yet.

2) You need to assign a script action to your model (that involves animation) if you don't want it to cycle through it's animations.

3) To make a water cube see-through, you need to assign it the "Transparent" flag by right clicking it and selecting "Properties".

4) What "bonus models"?

You should really look through the manual before posting anything on the forums. A lot of beginner questions are answered there.

Code:
void main()
{
    cout << "I am MrCode,";
    cout << "hear me roar!";
    system("PAUSE");
}