I am with Oragnge and the answers to your questions are:
1) No ,
2) You can use any ADSL router ...I have a Netgear DG834N, but previously used a Safecomm one ...both work fine. (don't have any experience of the Belkin model, sorry)
3) You will need a machine wired direct to the router to do the setup stuff, after that it isn't necessary - but I would recommend keeping your desktop as a wired connection (if it is close to the router).
4) Very easy ....all you need is your Orange user name and account password to enter into the router and you should be online straight away..both my routers came with very simple setup instrctions