Some of your questions will be answered on this page.
Question: Why can't I open the .pdo files in the download pack?
Answer: Those are Pepakura viewer files and they can be opened with Pepakura Viewer. .pdo files are your instructions, without them most papercrafts would be near impossible. ( please note that Pepakura is a Windows program. You can use it on a mac with parallels desktop or bootcamp)
Question: How do I build these?
Answer: You can use Haywan's Tutorials to learn how to build them. He has a Beginner Tutorial and an Advanced Tutorial.
Question: What kind of paper and glue should I use?
Answer: For paper just use thick printer paper. As far as glue, I use Aleene's Original Tacky Glue.