This is the same system that water moves in a plant. The air flowing from the balloon through the holes forms a layer of air between the hovercraft and the table. This reduces the friction. With less friction, your hovercraft scoots across the table. The energy from the light heats the air above it.
Warm air is lighter than cool air, so as the air heats up, it rises above the lamp.
Cool air moves in to replace the warmer, lighter air. The vinegar removes any protective coating from the steel wool, allowing the iron in the steel to rust. Rusting is a slow combination of iron with oxygen. When this happens, heat energy is released. The heat released by the rusting of the iron causes the mercury in the thermometer to expand and rise.