Pinky, fuzzy, etc. refers to the stages the mouse goes through and gives a general idea of the critter's size. RodentPro.com has a really good list of all the various sizes for your reference: http://www.rodentpro.com/catalog.asp?prod=3 and hatchling ball pythons can nearly always eat standard adult mice right out of the gate and should never be given anything smaller than a weanling. Pinkies and fuzzies are lacking in calcium and protein and heavy on fat, which will grow a bp faster but not provide all the nutrients it needs.

How to warm up the frozen ones: there are a few different methods, but the most popular is to warm them up gradually with hot tap water. If you do it inside a freezer bag or similar thick poly bag, the mice will retain the smell that is part of what makes them appear to be prey. Normal body temp for a mouse is 98.6F, so that is the temp you want to get them to. For me, that generally means hot (~120F) tap water in a bowl until it's nearly room temp, then dumped out and replaced once for another 15 minutes or so for one or two mice.

There is no need to dust the mice with anything, though it is a good idea to make sure you are buying mice that have been fed a nutritious diet. If you want to make extra sure, raise the mice yourself and kill them humanely, but apologize in advance to anyone who has to come into your house because of the smell. I bred mice for a ball python I had years ago and won't do it for the current crop because the mice are just too stinky.

You can ask pet stores this kind of question if you want, but you are better off asking your local reptile or herp club, your vet (member of ARAV.org), or members of a reputable forum such as this one who have real experience with such things. So often pet stores give really bad advice, sometimes even reptile specialty shops.