The purpose of NFuse is to deliver applications from a MetaFrame server farm into a web page. I think this answers the last two parts of your question.
As to the first part, setup is straightforward - as of FR2 it gets installed from the CD "out of the box", providing the NFuse server-to-be has IIS installed.
Earlier versions can be installed direct from the download or CD onto a server running IIS.
The Admin Guide is pretty helpful, until implementation time...
I hope this is helpful
CitrixEngineer@yahoo.co.uk