To enter into the setting page go to WordPress menu > Appearance > Theme options. The theme settings are global settings for different parts of your website.
The Twitter keys are required for the Social Feeds component. You can get your key from http://dev.twitter.com/apps by clicking the Join button and by creating a new app.
Here you can import the demos of the theme. If have problems with the demo importing, there is some file permission issue with your hosting. Contact us and we will send you the demo package and the instructions for the manual demo importing.