HymenBuster
Wellcome to the wonderfull world of MPX players. And now to answer ur questions:
1 - YES you can use any theme that u like on this site for ur MPX player ( as long it is made for 1.5'' screen). Now, about the firmware YOU SHOULD ALWAYS REMEMBER THE GOLDEN RULE ABOUT MPX PLAYERS: ALWAYS BACKUP YOUR EXISTING FIRMWARE BEFOURE INSTALING A NEW ONE. This is becouse a wrong firmware WILL screw up ur player if not permanintly destroy it. Changing the firmware in 90% of the cases WON'T give you ANY new features on ur player and WILL screw it up. For more info refer to the FIRMWARE forum. I recommend for u just to use your own firmware and use s1res to modify ur theme.
2 - YES the players support WMA, but some of them don't display the ID Tags properly when playind a WMA song. I reccomed using MP3. (After all this IS an MP3 player, right?

)
3 - Unfortinatly you have to make ur own folders (As far as I know). The players simply arranges the songs in the order in which they were copied to it.
4 - About the dual stereo: It simply means that the player supports STEREO SOUND. ( lol. I've never heard of a player that has two earphone jacks) And YES it DOES affect sound quality becouse by using only one earphone (lets say the left one) you will not be able to hear the part of the music that is playing on the right earphone (Maybe the rythm guitar or a supporting vocal etc. That is why they call it stereo, you know

)
P.S. And btw about the AMV format. Yes it is a bad format but it DOES support audio. This option of the player would be useless if it didn't.
Cheers