Congrats! Welcome to the amazing world of PCLinuxOS.
1) Yes, you can have one. Just right click on you main panel >> Add New Panel >> Panel. You can reposition it by right clicking it, and then "Configure Panel". If you want a dock, I suggest you install "KSmoothDock" from Synaptic instead. It's much smoother and suited for docking purposes. Look at my desktop.
2) That's quite odd. Open 'KMixer' (it's the small speaker icon in you system tray). Check that all the volume levels are correct. If you are using amaroK, then check if volume level is lowered from there. I haven't heard of anything similar before.
3) To make hard-disks mount automatically on start-up, open synaptic and install ntfs-3g and ntfs-config. After you have done that, open your menu >> System >> Configuration >> Hardware >> NTFS Configuration tools. Check both the boxes. From now on your ntfs partitons wil be mounted automatically on start-up, and you will be able to write to ntfs partitions too. Though, for ntfs-3g to work properly, it is essential that you shutdown your PC (while using
Windows) properly. I had a habit of switching off the
UPS directly

.