How does the heating system work?

I have a Bighorn and am trying to figure out the heating system...

!) The living room overhead fan blow constantly no matter if the desired temperature has been reached or not. It's very noisy. (Heat does blow out the registers until desired heat is reached.) Is this the constant overhead fan blowing normal...unavoidable?
2) The bedroom has a thermostat with a heater indication. When I turn it on I only get ambient air blowing through the roof. Is there supposed to be heat coming out of the vents?
3) Above the living room thermostat there is what looks to be another thermostat with a slide indicator for the temp. It's a Honeywell with the words on it "Fan Vent Instantly". WHAT IS THIS??

thanks