Once you have flashed CWM with Odin, it will stay on your phone unless you flash a stock image that replaces the recovery as well. To access CWM, power your phone off (you do not need to remove the battery) then power it back on by holding volume +, volume - and power until you see the Samsung logo. Many custom ROMS and themes have added options in the power menu (when you long press the power button when the phone is running) that add options like reboot and recovery, instead of just power off, silent mode, etc.
When you want to install a ROM, or any zip file that its CWM flashable, you just need to place it on your SD card where you wish (you can dedicate a ROM folder if you want), boot into CWM and select "install zip from sdcard", followed by "choose zip from sdcard", find it, and confirm the installation. As you probably already know, to navigate in CWM, you use the volume buttons to move up and down, and the power button to select.
As far as ROM and kernel versions go, that's all based on the ROM you're running. You'll always see a kernel version of 2.6.32.9 no matter what kernel you have installed at the time. That it just the version of linux based kernels the phone uses. All aftermarket kernels are still based on that version so that number will never change.
You'll notice when you're looking through different ROMs they're based on a certain version like EB01, ED05, etc. This is a code for the release version and date from the manufacturer. The first letter tells you what version of Android the ROM is on (E = 2.2, D = 2.1, etc). The second letter corresponds to the month it was released, and the numbers are the day of that month. For example, DH01 is a 2.1 ROM that was finalized on August 1st (the ROM the phone shipped with on release). The newest official release is ED05, which is a 2.2 based ROM that was released on April 5th. What ROM version you run will determine what you see in the firmware and build sections, the baseband is the modem (or radio) portion of the phone and works the same way. Usually the baseband and build will match, but you can flash them separately and have different versions if you wish.