Press F7 (I think it is) on the system that is playing and it will bring up an orbiter onscreen that you can use to control the system. The other option is to choose the room that is playing from another MD.
That is correct. F6, F7 and F8 are the magic buttons if using a keyboard (so make sure any mini keyboards you buy have those!)
F6 brings up the chapter/seek "rose" (arrows)
F7 brings up the main menu as phenigma says
F8 brings up the lighting/volume "rose" (arrows)
That might only be for the posh overlay (UI2) thinking about it, so it might just be F7 if you're using the basic (UI1) overlay. Have a play!
What is your chosen MD system? There are ways and means of making it into a PXE machine if it's not supported by default......
Have fun, and persevere, it's well worth it ;-)