Heres a decent pic of the setup mentioned.

Parts Needed
1) The K&N filter:
$33 2) The Heatshield:
DTEC Tuning Heatshield 3) The MAF Adapter & Gasket:
SP Motorsports (dependig on year of car) 4) The IAT reloction kit
TO answer your questions
1)Both
2)see #3 above
3)See pic for the heatshield
4)" "
5) 1) Unscrew the bolts connecting the MAF to the stock airbox. 2) removind the stock airbox. 3) Bolt new MAF gasket between the MAF and the new MAF Adapter. 4) Slide the K&N flter over the adapter and screw the clamp till the filter is on the MAF adapter good.(If you got the heatshield fro dtec tuning, I believe by the pics on thier website that there is a adapter built onto the opening f the heatshield.)
HTH