As far as places to buy these things at, your local hobby shop sometimes will carry them. Wizard of the Coast has them too. They do have their own online store for US market where you can buy the miniatures as well. Most of the prices don't vary much from place to place, so to find low price deals, you pretty much have to go on ebay for them, but I don't know if you are old enough to do that yet. I had a special case happen to me that my friend's local game store was closing down so they had some half price sales to old customers therefore he was able to pick up some for me.
No you don't have to follow the color schemes given by the designers. You can just make up your own scheme and a story behind your army. The other half of the fun for warhammer is really going into war with your pieces and see how good of a strategy you can come up with with the amount of power you have acquired. Your army will expand in size as you try to balance your weaknesses and strength in order to take down just about anyone.
I got into the game because I was at my good friend's place one day like 7 or 8 years ago and I saw these (really terribly painted =P) miniatures and rule books/army books, and thought that they were really cool. It was funny that I love the game for the painting part a lot more than the gaming itself. If you want to know more about the game, www.games-workshop.com There's some reading there to get you a slightly better understanding.