-I don't really get all those ashes things... so someone is killed in battle and then re-lives?
It's easier to imagine if you think as if of those ashes swirl around and settle into the shape of a man again rather then becoming a man.
-In the books they often talk about Shor and Lorkhan (they're the same god right, the one who convinced the nine of making Mundus? is he also the Allmaker of the Skaal) that he just walks... like he had a body, while I always thought about the gods of being a spirit-like thing...
The Al-Maker that'd be Anu. Compare to the Hearth of the World, the Altmeri version in the Monomyth. The greedyman is Lorkhan.
-Was this storm that protected Tiber Septim during this battle the Underking... (And Ysmir, the guy who leaded the atmorans to Tamriel, is the Underking right.)
Yes, Ysmir protecting Tiber is the suggestion.
-I still don't really understand when someone has a body or is more like a divine spirit or something else... at one moment i think the Underking is a storm the other moment just a person...)
Think transformers. One moment they're a car, the next they're a humanoid volume of metal larger then the car ever was.