1) Yes the motherboard and the other parts come with all the cables and connectors you need.
2) If you buy a box processor it came with with heatsink and fan included.For overclocking you need to replece the stock neatsink with something better. The thermal paste is preaplied on heatsink. The aftermarket coolers have in the box the thermal paste and you have to apply yourself.
3) A genuine copy of Windows 7 ( 32 and 64 bit) is almost 100$ everrywhere.