Babeboy,
These are all good questions that almost everyone has when they start. The answers are complicated and sometimes contradictory because Trainz can be used in many different ways. There are also differences caused by different countries and different railway companies using different signalling systems.
On any layout that you create yourself, you have to add the signalling yourself. There are some video tutorials on signalling
here and some text-based tutorials
here. The first is for Australia and the second for the USA but most of the basic principles they cover apply generally.
For layouts that you download, they may already have signalling or they may not, or you may want to change it. Bear in mind that changing a layout's signalling may prevent a Driver session or scenario to fail due to it being written for the layout's original signalling setup.
Trains, static rolling stock, junctions, and end-of-track buffers will all set signals automatically.
A TRS2004 scenario can change the state of a signal by means of an instruction in its coding. I suspect that a Driver session can too by means of an appropriate Rule but I don't know enough about Driver sessions to be sure.
Keep experimenting, keep reading the manual, keep searching the Trainz web sites for answers - and if you can't find the solution keep asking.
HTH, John