Do I have to reload my music or can i leave it on there?
Where is the ROCKBOX UTILITY for auto install of Rockbox?
When I turn on the player will it always give me a choice of which firmware to run?
1) Leave it.
2) Read the installation chapter in the manual.
3) You can hold down the left button to go into the Sansa firmware.
Check the SansaE200Port page in the wiki for answers to these and other exciting inquiries. And pay special attention to the troubleshooting section, you'll need it for #1.