"My first question is about safety: I've seen guys on TV getting a shock from the welder ? How would this happen ? "
Hold the earth clamp in one hand, put your tongue on the end of the torch and pull the trigger!
I always ensure I have a good ground regardless, for the quality of the weld as much as any safety concerns.
To avoid any risk of shocks, I'll physically unplug the welder if I have to do anything to it, including cleaning the spatter off the nozzle. And NEVER open the side of the welder without unplugging it!
I don't know of any welding books, but the key to it is just practice practice and more practice! Get a load of scrap steel and lay down run after run. You can tell if there's not enough, or too much current/heat etc. Don't know where you're based, but almost every college does evening courses in welding.
Keep at it mate and you'll do ok!