Try reading the forums a bit and the wiki and you should be able to find the answer to almost any question you could possibly have. There is a huge amount of information on this site.
For tools to make changes easier, you should give GeorgeS' tools a try. You can find them on his website, which is linked in his sig. Check his section of the forums for more info.
Database changes don't disappear when you shut down the server. It all depends on what you are doing though, on whether it will stay or not. Once you know what you are doing, it is easy to make sure everything will stay. One example of things that would disappear is if you made an NPC in game, but didn't use the right command to save it to spawn in the zone.
Many database changes you might make won't take effect until you restart your server. This includes item changes, rule changes, loot table changes, faction changes and probably a few others.
Check out the FAQ in my sig for answers to some common questions.
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