1) When confused about copyrights, talk to an entertainment lawyer rather than a messageboard Most of us are just as confused as you.
2) You can copyright a compilation of tracks as in "Dave's Album O Fun" and then copyright the individual tracks. The two are done seperately. Most of us haven't even taken this much time.
3) Agreeing to pay royalties on a CD that you are giving away seems.... odd and worthy of that lawyer I mentioned.
4) It's a 5 min question. $0.07 per copy per track liscensed still would have to be paid I believe. If you did this a dj mix demo for free, you could get away with it based on the social acceptance of dj demos. Regardless, you are still supposed to pay for what you use. Clubs and record labels just tend to ignore this for the DJs unless they start selling enmass and saying the tracks are their creation.
5) again... talk to the lawyer and get it right.

This is a question that all new (and old) DJ's deal with. Before I started producing mixes I contacted several very popular Digitally Imported DJ's (their names will remain anon but lets just say their mixes get VERY VERY HEAVY ROTATION) and I was told the same thing by each one... If you are a DJ and you're spinning a track that was produced in a different country, IE: Netherlands, Germany, France..etc and let’s say you live in the U.S. (like me) those tracks are ONLY COPYRIGHTED in their native countries.  I looked into with my good friend (who happens to be a lawyer) and I was told basically the same thing. On average it’s about $10,000 to file a WORLD-WIDE copyright and that I know of no EDM producers / DJ's have done this yet. I could be wrong about that but I can't seem to find anyone that is willing to pay 10K for world-wide rights to their track. Now, if you are spinning someone’s track that was created in the U.S....well you better be ready to shell out some loot. (-: Aside from all the legal crap, it's been my experience that most producers WANT you to use their tracks to help promote their work and the scene in general... hope this helps... good luck!

You must first get permission from the original copyright owners to use their compositions and recordings in your compilation. The order of the compilation, the artwork, and design of the disc, etc are all your copyright. But generally the original authors do not transfer exclusive copyrights to you. If the owner of the recording doesn't give you permission, then you are SOL. Your only option is to re-record it in which case you would need a mechanical license to do so. But you will be getting a mechanical license from the songwriter anyway so the only extra expense you will have is actually taking the time/equipment/talent to re-record it.

There are two types of copyright in question here. The composition/lyrics, and then the sound recording itself. They are NOT one in the same. Anyone can get a mechanical reproduction right for the lyrics/composition in the US by simply paying the standard royalty rate of $.07/copy through the Harry Fox Agency. Getting rights for the recording itself comes from the label and honestly it doesn't happen all that often without either money or clout.

The attorney will tell you this: You do not have the right to 'copy' (thus the word "copyright) unless you pay the mechanical royalty for the lyric/composition. Therefore you do not have a right to distribute, if if you are making no profit. The copyright holder has the exclusive distribution rights unless he transfers those rights to another entity (such as a record label, distribution company, iTunes, BeatPort, etc).

Yes - the non-dance/electronica music industry takes a VERY different approach to this. However here in electronica world copyrights are not always fought for all the time unless of course there is big money changing hands.