The Identify button is only active when you have selected a layer. See the next question.
To select a layer, click on its symbol on the far left of the legend entry. When selected, the background color will change to yellow.
Move to the last point you want included in your selection search and double-click to close the polygon.
You can access the shapefiles and images on the CD-ROM using ArcView, ArcExplorer, or other applications that can read shapefiles. If you want a particular layer and don't know its name, select it from within the application and click on the Save current layer as shapefile button. This will allow you to save the layer to a directory of your choice.