First things first. How do you write and pronounce Stata?

From the Statalist Frequently Asked Questions webpage, 'Stata' is an invented word and not an acronym for anything (similarly for Mata - Stata's matrix programming language). There is apparently no 'correct' way to pronounce Stata :

"Some pronounce it with a long a as in day (Stay-ta); some pronounce it with a short a as in flat (Sta-ta); and some pronounce it with a long a as in ah (Stah-ta). The correct English pronunciation must remain a mystery, except that personnel of StataCorp use the first of these. Some other languages have stricter rules on pronunciation that will determine this issue for speakers of those languages. (Mata rhymes with Stata, naturally.) "

Hence it is probably more correct to pronounce it as Stay-ta.

Also see this blog post by Jason Kerwin (a Professor at UMN).

Second things second. How do I access Stata?

University of Bologna students can access a version Stata on the computers in the Lab in Scaravilli, and in the computer lab in Rimini Ranzani.

Do files and Log files

A do file is a bunch of text saved with suffix ".do". Stata can run a do file and complete all the analysis/data processing/plotting with a single click. I recommend Justin Wolfers research page to check out examples of a do file. Also I finally found a useful collection of 'do's and don'ts' of do files here.

A log file allows you to store the results of a Stata session. It records all commands and all textual output as it happens . Go to File -> Log -> Begin. For more information type 'help log' into Stata's command window.

Basically treat these as how you would take notes in a class. The log file is your record of what you did, and the do file means you don't have to re-learn (or re-code) it every time.