Congrats on getting PM3 -- I've never used the software, but I have a copy of the manual, and it is an extremely well-written summary of music theory. I'm sure you'll enjoy using the software, if the manual's quality is any hint.

As to your first question, I'd recommend getting a MIDI interface; doing so would greatly expand your synthesizer options. I've seen several on-line schematics, although some of the designs make me cringe (easily fixed, though). Building your own is neither hard nor expensive, so you might want to look into that.