1) - Yes, you can make your own programmer, but it would be more work than it's worth. A USB-Blaster is well worth the money, especially if you are a beginer. If you know a bunch of logic designers, ask around. An old Byte blaster could be had for less.
2) - Almost. You will need a handfull of bypass capaciotrs for power, such as .1 uF ceramics. Review the pin list carefully. (Many relays need a transistor driver circuit.)
3) It is impractical to etch your own board. You can design a layout yourself, and there are several prototype PWB people who can make the board for you. Look for adds in EETimes:
www.otterusa.com,
www.pcbpool.com,
www.pcborder.com.