Let me try to answer some of your questions.
In the Trados download page there is a big selection of downloads, that's my next question. What all do I have to download? I downloaded the Trados SDL software, then there is another selection for Multiterm, and many other's. Is Multiterm included with the download of SDL or do I have to download it seperately?
Trados and SDLX's installers are included in one package. Which is, I assume, the one you already downloaded. Since you just bought SDLTrados, you should have only one version available. If you see more, download the newest build, which I think is 835. Multiterm comes in a separate installer. Make sure not to download the patches or upgrades, you need the installers for the complete applications.
Finally, I am about to take the certification exam for Trados SDL, what all do I need to do to be prepared for the certification exam?
Read the manuals and play around with Trados' features. I found the certification training manuals more didactic than the manual included with Trados. You can download them from the certification area, along with the sample files.
Best of luck!