1. They are not putting sites in your history. This is just a location in the Registry. They have just hijacked your home and possibly search pages.
2. They hijack to make money through affiliate programs. For every click they get, they will earn revenue.
3. General lack of security, settings incorrect, not all Windows Updates installed and whole lot of other possibilities, of course I can't be specific to your computer
4. You have a trojan, see
here for a description of the Trojan.
5. Of course, but I'll need to see a Hijack This log.
6. Of course, there is plenty of info in this forum to help you do just that.
7. First of all, its not a folder, its a registry key. It isn't harmful. All the websites you said in the P3P folder are on my PC as well. These registry entries are the result of immunizations performed with antispyware software, probably Spybot. They are to help stop the installation of spyware from the blocked domains.