Hi and
to the site.
Basically a cable needs to go from the front of your property on the pavement to the wall of your house.
If you have a grass lawn they will make a small trench for the cable to go along. And then put the grass back.
If it is a concrete or a more complicated driveway you may have to do this yourself or have a talk with them.
Cook them breakfast and I'm sure they will be helpful.
You'l end up with a little brown box on the side of your house.
From here they will run a cable to where your phone point will be.
Most likely this will be near to where you want to make phone calls, and the easiest way into your property. They'll drill a hole here.
When they did mine they asked if I wanted white or black cabling.
For the broadband or TV you'l have another cable going to a little box on the wall where you want the services eg, next to TV or next to computer, so to answer your question you won't need to be next to the phone socket.
Yes, you should be able to have the coax cable going along the outside of the wall and through into your room. Just depends on wall thickness, ease of installing, etc.
EDIT:
I'm assuming you have cable in your area. If you are on ADSL your modem will plug straight into the phoneline.
From here you will need to either connect a long ethernet cable to your computer. You can do this yourself. Or hook up wireless access points yourself to avoid wires.
Hope that helps.