No problem - I'm over it...
A good place to start is with hooks. Hooks are places in the code that you can "hook in to" with your customization. Some are filters, which allow you to filter or change something programmatically, and some are actions, which allow you to do some action. This is what makes WordPress itself so extensible.
WP-Members uses the same API as WordPress so that you can customize your use of it without making changes to the plugin code. Making changes to the code is bad because you would have to do that anytime you upgrade.
If you want to customize where the user is directed when they first login, you would do that by hooking into wpmem_login_redirect (see: http://rocketgeek.com/plugins/wp-members/users-guide/filter-hooks/wpmem_login_redirect/). That could be something as simple as redirecting users to a specific page when they login, or something more complicated like redirecting first time users to the change password dialog so the change their password right away (see: http://rocketgeek.com/filter-hooks/redirect-a-user-on-first-login/). What you do with that is only really limited by your knowledge of PHP.
There is a list of hooks for the WP-Members plugin here:
http://rocketgeek.com/plugins/wp-members/users-guide/filter-hooks/
As I mentioned originally, there is not filter hook for the message class, except in the case of the login failed message. But I will probably be adding on there as I think that's a good idea. I'm always looking for places that new hooks make sense.
As far as customizing the CSS, this is probably a good place to start:
http://rocketgeek.com/plugins/wp-members/users-guide/customizing-forms/