1. No there isn't a way yet to set up a shop (you could try looking for a mod)
2. The cheapest place I've found is the Imperial city waterside property. You could again DL a mod and then you get a house for nothing.
3. When you drop your stuff it will dissapear. Get a house and store your stuff in the storage chests etc and then it won't dissapear.
Have a look at these mods, there are some great ones out there.
http://www.vgpro.com/games/pc/the_el...v_oblivion/mod