#1 Does it have a thermostat so it turns on automatically?
This unit does have a thermostat which will turn on and off the compressor automatically. In this mode, the fan will constantly run unless ECO mode is enabled.
#2 Does the window installation kit include the outside support bracket?
Inside the box is the AC, Quick Start Guide, remote, top mounting rail, left and right filler panels, installation gasket, and installation hardware such as screws, sash lock, and lock frames.
#3 Please explain why dose this AC have to be in a window to work? Cant it just be in a room but not be put in a window?
This is a Window AC unit and designed to be installed in a window. Air conditioners don't actually cool air, they work by removing heat. The warm air they remove must be exhausted to an exterior location or else the overall room temperature will remain the same. If a window AC can not be installed at your location you may want to consider a portable AC which can be exhaust through a smaller window.