1) I have a checkbox to the effect of, "Click here if you don't want to see this again."
2) Depends on the OS. If you're running 9.X, I say only do one thing at a time. If you're running OSX, it really shouldn't matter, as long as you don't do something that's really processor intensive (especially if you're on a G3). If you're on a G4 running OSX, you have a fair degree of room to do other things while burning like launching applications and doing other heavy-duty work.