Regarding the product versions. Take the OCP track for the version of the database you are most likely to use. Oracle 9i is still very popular, so it does no harm in getting that certification, but equally, I see no problem in going straight for 10g certification.
As far as study guides go, the Sybex ones are considered the best by most people I speak to:http://www.oracle-base.com/books/BookDe ... dy%20Guide
To answer your other questions:
1) You can use SQL Developer or SQL*Plus to practice SQL, provided yo have a database to connect to.
2) You definitely need download the Oracle software and install it. You might pass the exam without using Oracle, but your OCP will be useless unless you have actually used the software. You need to practice everything in the study guides and get a feel for the product.