Q1 - No, don't use that one; you'll be wasting your money.
Q2 - Don't use that one. Get a normal blue LED from Radio Shack (or equiv.) and attach it using my method #2. Red+blue makes magenta, but the blue will probably overpower the red and you'll see more of a violet.
Q3 - Which LED that I talk about? I talked about several! Do you have access to Radio Shack? If not, which supplier do you use?
Easier answer - any 5mm LED should work. Common colors (red, green, yellow, orange, blue, white) are available at Radio Shack, others are only available through electronics suppliers. Word to the wise - the parts that Radio Shack (and similar) stock are OLD, cheap parts, meaning that the blue LEDs require high voltages and the white LEDs require even higher voltages. If you use Radio Shack, avoid the white LEDs, and if you want blue, go for the cheaper (and less bright) of the two or three that they offer.