1) Can someone explain the whole job changing situation? I heard all you have to do is change your weapon, but that doesn't work for me (at least maybe not yet, or i'm not doing something first?).
You must go back to the guild of whatever your starting class was (I'm assuming lancer based on your character info here). Once you complete your level 10 class quest there you will be able to unlock classes by visiting their guilds like Makior said.

Remember to return to your class guild every 5 levels as there will be a new quest and some of them unlock abilities.