1) The thing you downloaded is the JavaScript only. You also need the PHP class and some additional JavaScript to make it work in SilverStripe. Download it from my site: http://bummzack.ch/colorpicker (scroll down and download colorpicker.zip).
2) dev/build is something quite fundamental when developing with SilverStripe. You have to do it whenever you add new modules or own page-classes to your website. Basically you just append /dev/build to the URL where SilverStripe is installed. So if SilverStripe is installed in http://localhost/silverstripe, it would be http://localhost/silverstripe/dev/build.
I think you should really have a look at the SilverStripe tutorials.. it's all explained there: http://doc.silverstripe.org/doku.php?id=tutorials