Hi, welcome to the forums.
Ok let me answer your questions in English lol. The day I got my first android phone I was extremely confused. So I wanna answer your questions in a way that a beginner can understand. (No offense)
#1 Yes sideloaded apps will most likely come from a website (from either your phones browser or computer browser, both possible). Sideloaded just means that it did not come from the Official Android market.
#2 now I'm not 100% sure about this, but I'm pretty sure it can. Go to settings on your Droid x and tap on applications, then on the top you should see an option that says "Unknown Sources". You check or uncheck to allow or disallow your phone to have that ability. I have many sideloaded apps on my Evo, apps that are not allowed on the Official Android market, for various reasons. like TubeDroid, tubedroid let's you download YouTube videos to keep on your sd card. Cool stuff, but for now you should just get to know Android a little more.
#3-4 Android is an Operating System = OS, (like Windows Vista is an OS) there is many versions of the Android OS, (like there is different versions of Vista, like Vista Basic, Premium, Ultimate, and Business) each version is considered a different Rom, and offers different features. My Evo has the HTC Sense UI Rom, the original MOTO Droid had the stock Android Rom, and the Droid x has a kinda MOTO-blur/stock Rom on it. So in other words, we all pretty much have custom roms of Android on our phones (except for original Droid, nexus one, and G1, they have original roms).
Now some people like to take these Android Roms and Customize them even more.. So for instance I can install the nexus one Rom on my Evo. This sort of stuff usually appeals to the very Tech savvy people (not including myself lol), because it takes a good understanding of Android and Linux, and some gutts, because you can screw up you phone and Void your warranty. And finally Yes you do have to Root your phone to install custom Roms.
Hope I helped, and hope you enjoy your Android experience. Thumbs up..