I am a total newbie to wireless networks and wireless routers so please excuse me if i sound stupid.

Let me begin with the list of devices i want to connect to the net:
1. A wifi enabled laptop
2. A phone with wifi
3. A PSP with wifi
4. A normal PC with an ethernet port.

About my net connection:
I have a local cablenet guy who provides a single user net services through a CAT5 wire without any modem or anything. For connecting to the net, i must dial a pppoe connection to a particular service with a designated username and password.

I have not yet purchased a wireless router because i don't know which type or company to buy (not very expensive, but value for money). I would require an area coverage of about 700 and above square feet.

My main concerns/ ignorance points are:
1. Does a wireless router connect to the ISP through a CAT5 wire (till now i have seen only wireless ADSL routers which connect to the ISP through a telephone wire)

2. Since my Phone and PSP connect to an access point directly, how will they dial a pppoe connection? Or does the wireless router do it for them (considering there is NO modem)?

3. Will i be able to share the single user connection simultaneously to all the 3 wireless devices and 1 wired PC because of the router (as if they are a single device)?

4. While doing so would i have to intimate to him that i am using a wireless router so that he would have to allow it or something?

5. Since practically i am connecting my computers to a LAN for internet, how do i ensure that i share files internally and not allow other internet users of the ISP to access them?