Set up a browser window the way you like it, and then choose Save Window Size from the Browser menu. Other browsers try to be smart about using the size of the last window you had when they create a new one, but this often causes windows to come up at seemingly random size you don't want. This may not catch all your bookmarks information, as we don't yet completely grok the other guys' file formats, but it should get most of it. Just click on the text of a bookmark that is already selected, like in the Finder. Or, control-click on the bookmark, and select Edit Label from the context menu.
Any bookmark can be a folder, just drag another bookmark underneath it.
Alternatively, you can create a new empty bookmark folder by selecting Add Blank Bookmark from the Edit Bookmarks part of the Bookmarks menu. The reason OmniWeb doesn't use a progress bar to show the progress of loading a page is that in order for a progress bar to be accurate you have to know how much you need to load in advance. When loading web pages, we don't know how much we have to load - we load the original HTML file, and as we parse it we come across image references, and we have to retrieve those as well, so the size of the download typically expands many times in the course of loading a page. Also, we don't yet support Java-based plugins. OmniWeb includes a Flash plugin based on Macromedia's publicly available Flash 4 source code.