If I want to get a mod from Bethesda instead of the nexus, and it's downloading in the mod window, do I have to wait until it finishes or can I play the game while it downloads? I have the internet of 1994 and I would rather let the machine pick away at a file all night so that it is ready when it's go time.

You need to wait until you see the "Disable" option to your left. After that you'll be able to continue playing, but aware the achivements is automatically disabled and I dunno why.

I also recommend you to manually adjust your loadorder in the mods section, where you can download a mod, and the commands for managing your loadorder can be found in the bottom. Use the key arrows to either move a mod up or down.

This is important, due to a loadorder bug that needs to be fixed by Bethesda you need to http://afkmods.iguanadons.net/index.php?/topic/4667-ussep-unable-to-be-at-top-of-load-order-campfire-mod/#entry163473 (directly after the last loaded esm) since USSEP are for now an esp and not an esm due to that bug.