First of all, how can I tell someone to cancel what they are currently doing, and do something else (hence my farmer always fishes, but I want him to plant crops...how do I tell him to stop fishing and plant crops)
Canceling the labor you don't want the dwarf to do on their labors list is the only really reliable method. You can also use the (j)obs list and remove a dwarf from a particular job, but for fishing or such things they might just make themselves another job instantly anyway.
You're having trouble with this because different labors have different priorities (which are hard-coded). Dwarves will pretty much always choose to fish over more-or-less anything else that they might be ordered to do due to fishing's high priority, which you can't change. For things that you really want done, like farming, it's best to have a dwarf who does only that one thing.
Second, how come I cant build a trade depot? I have everything required. I followed the tutorials. I have a masonry workshop, and a architect skilled dwarf who is a miner and mason.
Do you have a dwarf with the architect
labor active, or just the architecture
skill? They're two different things. You also must have a dwarf with the masonry labor active (not necessarily the same one). To activate/deactivate labors, use the v-cursor, scroll to the desired dwarf, then hit p to enter the preferences menu, l to enter the labor preferences menu, and then +-*/ and ENTER to go to and toggle the desired labors. Masonry is in the Masonry subheading along with Stone Detailing, and architecture is in the Other subheading.
Once you've got the appropriate labors active, you need to hit b to enter the building menu, then D (specifically capitalized) to set a trade depot. This takes 3 materials, but doesn't actually require a mason's workshop.
Third, how can you equip your dwarves? can you? I would like to give them training swords or shields or armor.
This is a fairly involved process, and a better explanation than I can likely give is on the wiki's
military page. The short of it is that you have to make the dwarves part of a military squad and assign them weapons/armor through there. Note that equipping miners, woodcutters, and hunters doesn't work well through this method.
Fourth, how do you train their skills? I want to get more dwarves to have the herbalist skill, but only my farmer picks plants. Same way I want to train my dwarves using swords and shields and etc.
To train non-military skills, activate the appropriate labor through the method outlined above, then have them practice it. To train military skills, they've got to engage in combat with the appropriate equipment, spar with each other, engage in combat drills, or get attacked (not necessarily in combat). These things are outlined on the wiki's military page.
Fifth, can the enemy break down blocks/ doors?
Certain creatures have the BUILDINGDESTROYER:1 or 2 tag in their raw file, which allows them to break down various buildings. Walls, natural or constructed, can never be destroyed, nor can bridges, though doors can. Make your front gate with a drawbridge for this reason.