Don't worry, Fink is actually pretty easy to install. You can get it at
the Fink website. First, download it and uncompress it with StuffIt Expander. Unfortunately, there's one little annoyance with the very latest version, and you'll have to make sure that none of the folders containing the "fink-0.2.4a-full" folder have any spaces in their names. This messes up the installation process. When StuffIt Expander uncompressed Fink for me, it named the new folder "fink-0.2.4a-full Folder". I just changed this to "fink-0.2.4a". Then read the INSTALL file inside "fink-0.2.4a-full" with TextEdit, or INSTALL.html with your web browser. You'll want the section called "First Time Installation Fast Track". I wouldn't suggest going over the non-fast track first time installation section, because it actually doesn't explain enough.
I'll post more on the subject if you need it, but that ought to cover most of it.
As for X-11, no, Fink does not need X-11 installed. In fact, the main reason I got Fink was to install it, Gimp, and window managers. Doing so can be a little complicated, and would require some explaining if it has an error, so for now, I would just skip over it.
Anyway, I to install anything, type
fink install "ThingToInstall"
in the terminal.
You can find out what can be installed by looking in "/sw/fink/dists/stable/main/finkinfo", assuming you installed fink in "/sw". For example, "pine-4.33-3.info" is in the "net" folder, so to install it I would type
fink install "pine"
To answer your final question, Fink installs software. It could be something as simple as a newer version of wget for downloading things, or installing Gimp. Fink keeps track of what it has installed for you already, and knows to download and install needed files before downloading and installing what you asked it to do. While there aren't a ton of things you can get with it yet, this is going to change very soon.
-Bruce Adcock