Horosho = Horror Show
Well, since Russian is not my first language, I guess I can give you the insight of another foreigner 
Sounds in Russian have always tricked me when I heard them on the internet, often because of the poor quality. Jocker has already given you an excellent answer, but maybe my experience could be useful to you somehow:
2) There's a trick that works to me. For ш use the proper sh sound, whereas for щ say "ish-chi"... now try to merge the sounds.
3) Is English your mother tongue? If you speak Spanish, pretend X is the j "like in "jefe" and P is the r as in "rato". The American "r" would sound awkward, I reckon. If you speak Portuguese, your confusion is quite natural, as we merge these sounds 
4) Go here for the best Russian grammar ever
5) Й is, roughly speaking, the Russian "y". I would give you a technical long explanation, but I'm in a hurry. Besides, Jocker's explanation is very good 
I'm going to look for the audio exercises I've got somewhere in my room for these sounds. They helped me a lot and hopefully they would help you as well. They're not long, and the mp3 would be less then 2mb, probably.
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