Just try it, and you will get most of the answers to your questions ;-)
It has been a long time since I've done it, but if I remember correctly it goes like this:
1. You click "challenge" and the person that you've challenged gets a new game on his 'my games' page. (and maybe an email?)
2. Accepting a challenge is not necessary, it is implicitly done by your opponent by not deleting the game but making a move instead
3. Yes, you can send a move immediately after the game has started when being white. (No need to wait for confirmation, because that option is not present anyway.)
4. Yes, the game can be deleted at any time when no more than 3 moves have been completed yet. I think the opponent is only notified by email (if he/she has that option turned on). You could always send a PM to that person if you feel like it.
Hope I explained it clearly.