Welcome!
1) There are a lot of samples and loop libraries out there, and it depends upon what you want and what you're going to use them in (i.e. just audio loops, loops into a sampler, samples into a sampler, etc.) Other than than retail stores, Sweetwater, etc. Here are a couple of sites:
Paid site:
http://www.sonomic.com
Free site:
http://www.soundsnap.com
2) Audio out L & R into two line inputs on the 003. If you want to be able to trigger the sound from the MPC from with in PT, meaning you want to sequence in Pro Tools and have the MPC just create sounds, then you need to take the MIDI out from the 003 and connect it to the MIDI in of the MPC. You will have to consult the MPC manual for any setting you need to set on it to work in this fashion. You will also have to set up the Audio MIDI Setup on the Mac (located in Applications > Utilities), and add the MPC and connect it to the 003 (virtually anyway).
3) I teach PT at my school have taken the Expert training and will soon be a certified instructor. Do you need to take the courses? No. If you are good at self learning (buy a book, read it and work with Pro Tools) then the classes are not needed. I would suggest reading the manual too. I have used PT since 1993 and learned it on my own. The only reason I took the certification courses is that they were required for certification, which is required for us to teach the certifications at my school. I have read and re-read the manuals MANY times (usually with each new upgrade I go through it again).
If you aren't a good self-learner and prefer someone to guide you, then the classes would be a good idea. The classes are very good and the manuals for the classes are very well thought out and give you just the right amount of information as you can handle. The 100 level classes will help you become a good user, the 200 level classes will help you to really "know" the program and become much more efficient at working in PT.