A: It's an R4 that utilizes its own flavor of the Ace3DS+ kernel with U.S. based software support.
A: Simply drag and drop the ROMs you download into their designated folder on the microSD card. For instance, if it's an NDS ROM, you will drag the ROM into the "/NDS ROMS" folder.
A: There are plenty of websites that host ROMs that you may download. A simple google search for the name of the ROM followed by "nds rom" should give you results.
A: No. Unlike many other competitors, R4 Azure does not contain a timebomb, meaning that it will not limit its functionality on a certain date to get you to buy a new one.