Q2 - Check out this "Getting Started" link here it provides much of what you are most likely seeking. Other than provisioning a Power BI license, Groups, and a few Office 365 admin perms - everything is in a stand alone application app.powerbi.com.
Q3 - Once you have Pro - you can connect and use a SQL database as a dataset.
There are 2 main components to Power BI. The Desktop which you don't need any license for, and will work in connecting to your SQL database. And the Service (app.powerbi.com) - which you will need in order to create dashboards and share. This component requires the Pro license in order to share certain data.