1. As far as I can recall, you only need Disk 1 and 2 for the Slackware installation. The last two are source code and Zip Slack.
2. When burning ISOs, you burn them directly using a program like Nero. You do not "unzip" or "decrypt" them beforehand.
3. Slackware is a different OS ... it does not have EXEs. You have to boot the CD just as you would when you install Windows ... you boot the CD and run the install from there. If you have never configured a dual boot machine, make sure you have things backed up so you don't screw your Windows installations and files.
4. It doesn't matter. Make sure you give a partition dedicated to Slackware. Slackware doesn't use FAT or NTFS ... and by default uses ReiserFS. Basically ... when you are partitioning your new drive, don't use up all the space. I suggest leaving around 20 gigs for the Slackware installation.