By boot menu do you mean boot order? Look at page 33 of the manual. It's under the Advanced BIOS Features tab. Are you wanting to boot from a Windows CD/DVD?
Yes, that's a case speaker cable. There should be a speaker near the front of the case.
I test power supplies without anything connected to them other than a PC fan that has a molex connector. With the PSU not connected to anything but a fan, use an unfolded paperclip (or a short piece of wire) to connect the green to a black on the 20 or 24 pin connector.