1. The options you have are the only things you can do. The materials to do other things are not available, so the menu is not cluttered with things you cannot do. Find ores or bars for alloys, and then you can smelt them.
2. You must mark an item for melting with "m", either by looking at it with "k" or using the stock menu with "z".
3. Wild animals must be caught in cage traps. Your dwarf's hunting has nothing to do with the order to catch land animals. See the wiki.
4. The game doesn't have a goal like "make it through so-and-so" or "survive this long". You can do what you want. Whether you care to build a giant glass tower and whether it matters if your dwarves go naked is entirely your responsibility. You get enjoyment out of it by making and achieving your own goals. If you want to hole up and wait out sieges, that's up to you. You can even turn many features off if you don't want them. Do what you want to do, and enjoy the features of the game like letting your dwarves fight your enemies or setting elaborate traps for them.
5. (Bonus!) Check the wiki before asking questions. The answers for all of these things are there, and usually very easy to find. The reason for the wiki is to allow experienced players to lay all of the information out once in a single easy-to-find place, instead of repeating it for every new player. We're all glad to help with the difficult questions, but please do some searching first