OK, here are some answers based on my own experience:
1. - You can always use HUD replacers which were made for Oblivion. Don't ask me how well it will work, since I didn't try it. Of course, it will replace the whole HUD and not only the compass. Check TES Nexus or Planet Elder's Scrolls for these.
2. - Walk along the paths. If you follow the roads, you can get further, even into a more dangerous teritory and of course get into other villages and cities with trainers in them. You may also find random settlements /camps with trainers on the way. I don't remember the precise locations of trainers, but it's also truth, that I like to play it hardcore and thus don't overdo the training.
3. - I'd advise you to explore the starting 1-7 area completely before going further. You can power up that way quite well and also find a lot of useful stuff (extra enchanted or set armors too). Once you are finished with it, you can go further without trouble. There is also another reason for this - once you are a few levels above the area's limits the dungeons and loot are not worth the trouble anymore to go back and finish the sweeping. You may also want to do the quest involving your past sooner then following the main quest (Did you find the scribbled map in your chest at the Abbey?). It is true, that there are less side quests then in Oblivion, but the quality is higher and some of them involve a lot of walking on the map, with very different and remote locations. By the way, you may want to keep training blade further. Why? Unfortunately, there isn't a final blunt weapon yet, or to be more clear, you will have to use a sword close to the end of the game (was still so in version 1.0.7, can't say for 1.0.8.2 ).
4. - I think in that particular cave it's only an aesthetic part. In other dungeons these glowing balls are traps, so be on your guard.
5. - The main point of hunting skills is money. You spend a lot of them on the books, but they pay off very soon. And a large part of the huntsman tokens (aka teeth, claws...) are powerful ingredients for alchemy.
And one final advice - don't play Nerhim as if it was Oblivion. This may be based on the same engine and graphics, but the gameplay isn't the same. Treat it as a new game and you will get the most of it. Don't think you know how strong the enemies are or that striding through the landscapes is safe, since it is not. Careful is the way to go and if you already get into trouble, use anything you can to get out of it - your scrolls, potions, different weapons /armor or enchanted stuff, all can help you to get out. Take advantage of the surroundings - hide behind trees, rock or pillars to evade spells; get into water and get on the other bank to escape from your enemies; jump up to places only you can reach.
