1) Get bike shorts. Either get the regular ones (don't wear anything under them!!!, and some more !!!!!) or get liners you can wear under regular shorts but do get something.
2) Your body will need some time to adapt to riding. Pain is bad, discomfort is probably expected.
3) can't say about your bike computer, but cateye have been good to me, and you can get a cheap wired one for $25 or 30 or so (I think). They're all made in China and somebody is translating direction from Tibetanese or something, so the manual is likely to suck.
4) Tuning your drive train. i'd suggest going to park tools and youtube and watch some videos. This is one of those things that isn't hard to do and you'll be better off knowing how to do it. The bike shop will probably charge you $25 or so to adjust your rear derailleur. Have 'em show you what they do to it.
I don't know what kind of drive train that bike has, but all the above was written assuming it's indexed shifting and not friction shifting.