It seems you've downloaded the latest version without DirectX: v0.84 RC4.460.
1 - To setup DivX5.02 decoder, you should run the config.exe in the DivX decoder installation directory. Don't blame the player, this is a
known issue of the decoder!
In the movie window, the filters properties are only available if the filters are registered (thru Regsvr32 or regular install), if you just drop filters in .\filters directory, the filters are listed in the movie properties but BSPlay don't know how to access the settings.
2&3 - I don't really understand what you get on the desktop in full screen, but if your settings are corrupted, you should try to run the clearreg.exe utility provided with BSplay in order to remove them from registry. Default settings will be restored next time you run the player.