1) By the looks of it, you're probably downloading music from Archive.org. I'm unaware of players recognizing .xml files with metadata, mostly because it's unnecessary as most file formats have their own tagging system, so in theory those MP3s should be correctly tagged. If not, either someone comes up with a recommendation, or you have to do it by hand.
2) If possible, get FLAC, it's smaller than WAVE, it has support for tags, so when burning the files the program will recognize them, and label the CD correctly (for CD-TEXT, although it's not that important), and they're easier to work with as well.
Between Vorbis and WAVE, which to choose as a second option is difficult. Vorbis is far smaller due to being lossy, but burning it to a CD will yield a negligible loss in quality (it depends on how good it's the decoder), and uses tags. WAVE, on the other hand, is lossless, but it's bigger and does not have support for tags, so it's not really an option if you intend to do something else with the file after burning it.
MP3 is a choice similar to Vorbis, except that is practically ubiquitous, and it's practically impossible to find a player that does not support it, which is not always the same with FLAC and Vorbis (WMP, QuickTime, iTunes and similar apps do not play them out of the box). Vorbis used to be of higher quality than MP3, but the LAME encoder quickly closed the gap, although no one assures you if the MP3s you download were encoded with LAME.
3) Duh, difficult question. The real reason why Amazon can't sell you music is because they also have to renegotiate the rights for the European market. While the credit card restriction is probably true (although I can buy other items from Amazon without problem), even if it wasn't, Amazon would get in trouble if they sold music to markets outside its agreement with labels and music copyright associations.
It's the first time I hear about Ligamusic, but a quick gaze over the Terms and Conditions page mentions something about the Russian Multimedia and Internet Society, which leads me to think this is something similar to AllOfMP3, which also claimed it was legal because they paid royalties to this copyright association. While this seems to make the business legal in Russia, I'm unaware if they also makes it legal outside it. The RIAA and other associations claims that it does, but the company that started AllOfMP3 opened new sites after the others were taking down, and they continue to operate normally under the Russian law, so at least they're quasi-legal.
In any case, I would be wary of putting my credit card details in a site that does have so little references on the net.
Personally, my recommendation is to continue to buy good old-fashioned CDs. Or LPs if you fancy