We have conflicting sources. Daggerfall has "Dragon Eggs" and "Dragonlings". The manual for Daggerfall as well as a book on Dragons in Skyrim called "There Be Dragons" indicate that these weren't actual Dragons but a species of overgrown lizard. That same book claims that Daedra who were interviewed on the subject of Dragons said that the Dragons were similar to Daedra in that they weren't born and don't reproduce, and never die of old age.
I think they do have some basic biological needs, like eating, sleeping, breathing etc. There always appear to be bones around their roosts and lairs. One can assume they kill monsters, people and animals and feed on their flesh.
Are you asking about their origins or their actual nests? Some sources indicate they originated in Akavir, a continent far to the East of Tamriel. Some may still live there although mythology states they became extinct. A race known as the Ka'Po'Tun, a Tiger people unrelated to the Khajiit are said to be able to transform their bodies into those of Dragons though.
As for where they live day to day, they have roosts. Nests. Perches. Whatever you want to call them. All of the ones who live in Skyrim seem to prefer remote, elevated areas. The one in Redguard lived in a large dungeon or cave, but he was guarding something for the Empire.
4. Do they venture the lands outside Skyrim?
They either originated in Akavir to the East or Atmora to the North, and they lived all over Tamriel at one point.
5. Are they vulnerable to disease or infections?
Well, I'm not sure about diseases, but Esbern claims the Akaviri warriors might have used a potion to weaken them. In Skyrim, they're not immune or resistant to poisons and my characters use them in fights against Dragons. They are immune to aging, however, and live forever if not slain.
6. How do they learn shouts?
They don't need to learn them. They knew them from the beginning, since Akatosh shed his own heart scales to make their bodies. They were created fully literate and fully trained in the Thu'um. It's intrinsic to their being.