Try Notepad++. There are options to save documents in all sorts of formats. Some other options are Aptana, Netbeans and Microsoft Visual Web Developer. I would recommend starting off with something like the Microsoft product or Notepad++ if you are a beginner. Some of the other programs are great but hard to use if you aren’t use to programming.
For your second question, in general it is better to keep your CSS and JS files separate however this is not an absolute truth. For example when optimizing a website for speed, it is better to use inline CSS and JS code when that code is not used that often. By contrast, if you have one more http request every time a page loads for CSS or JS that is only used occasionally, you are not using resources optimally.
You can get more info on that here,
Hope that helps,