“dev” is short for devices. When data is read or written to the files under that directory, the data will go to that device. They are not “regular” files.
Yes. “sd” is short for SCSI Disk (and SCSI is short for Small Computer System Interface, the abbreviations go deep in Linux 
).
The letter after sd is just an auto-incremented letter that is set based on the order in which the drives were detected after the system was booted. WARNING: The letter can change between one boot and the next or even while the system is running if the drive is disconnected and reconnected.
The number after the letter is the partition number.
You can mount your partition at any path, but to avoid destabilizing your PC, you should avoid mounting it over any directory that already exists and has contents.
You should probably avoid reformatting the partition with a Linux-native filesystem if you want it to also work in Windows. If it is already formatted with exFAT, that should work fine under Linux. However, you might need to supply extra mount options if you want it to be accessed by multiple users.