1. The most important factor on CAI performance is the quality of the filter. The piping can be any brand, but make sure the filter is either K&N or AEM. These will let the most air through.
On a second note, don't buy a Short Ram Intake. Technically speaking they are "hot" air intakes because they suck air closer to the engine bay. A true "cold" air intake sucks air from underneath the engine, closer to the wheels.
2. I have a K&N panel filter on my car (direct replacement filter) and I havent really noticed a increase in gas mileage, however I havent noticed a drop in MPG either. A CAI lets a bit more air to the engine, so it might increase it by 1 or 2 MPG.
3. Most CAI kits come with instructions, but here's a good website with a lot of pictures to help you out:
http://www.teamdelsol.com/technical/...ke/default.asp
It's specifically on how to make an intake from scratch, but you can get the main idea of assembling, disassembling your intake from it.