1. If you're unsure and it would make you more comfortable, sure. Have them also check your form, show you exercises you don't understand, etc.
2. No, it's more difficult for women than men in general because of their relative sizes. You get used to it, and some gyms have shorter bars. The oly bar is 7 feet, the average guy is almost 6 feet, the average woman just over 5... so yes, it's different. You WILL get over it.
3. Nope. Bench, sure. Deads don't. You drop the weight, you're ok. Squats you just dump off your back. A good gym has a squat rack or power cage which has safety bars to catch the bar for you.
4. Do them where they are in the workout. At the gym. Don't worry, you won't take up much space. Find a spot, and do them. Look around for somewhere, there's always somewhere.
5. Actually, it prolly shouldn't. You should always be doing a certain percntage of your max effort, so it will always be relatively difficult. But, A) you'll get better conditioned and used to it so it'll get a bit better, B) you may be going too hard right now and try to backoff just a smidge. Give 80% effort, not 90%.