"Tools" -> "Firefox Sync" allows to sync everything. You don't even need to use add-ons when you use Firefox 4.

AdBlock for Firefox and Chrome filters ads just fine.
I also used Privoxy in Ubuntu, but had problems with it. Although its filtering ability is amazing.

I don't like WUBI, although the first time I tried Ubuntu was using WUBI. But I do recommend to use dual boot instead.

As for Windows programs like Phososhop, take a look at PlayOnLinux. It allows you to run many Windows applications including MS Office, Photoshop, Autocad,... from Linux.

As for questions, try to post them in the forum whenever possible. PMing won't allow other users to help.