king cobra, ill try to lay out everything for you.
first off when you get a kit, youll get the bottle, neccessary lines, brackets, and the nozzles aka jets (for different hp settings). depending on whether you get a dry (nitrous only) or wet (nitrous and additional fuel) youll get 1 (dry) or 2 (wet) solenoids. this may vary by manufacturer, but most come with a WOT switch. youll have to see it to grasp how it works, but it is simple and effective. the kits do not come with a purge or a bottle heater, but neither is a necessity to run nitrous properly. the function of the purge solenoid is to vent the nitrous lines of n2o vapor. nitrous is very cold (like -120*F if i recall right) and as it heats it evaporates into gas (it is in liquid form in the bottle). the purge clears the line of this vapor to allow a more effective run. also nitrous operates at an optimum bottle pressure of ~1000 psi, but in the cold, bottle pressure can drop, and by warming the bottle you can effectively raise pressure.
as far as the tune, when i am planning on running nitrous, i have a specific tune i use. i run 1 range colder plugs (autolite 24), run 93 octane, decrease timing to 10* (i ran 8* last time out), and usually pour in some octane booster, jsut for piece of mind.
also remember, unlike super or turbo charging, nitrous is only "on" when you turn it on, so having a tune for optimum N/A performance will not effect the car in a bad way. (just dont run the N/A tune while using n2o)
also for n2o newbies, when you hit the nitrous, the revs climb very quickly, making it easy to hit the rev limiter at 6250. rev limiter + nitrous = not good. thats why they have window switches. they turn on and off at certain rpms (i use on at 3k, and off at 6k) so if you miss a shift, the window switch will disarm the nitrous solenoid automatically, which could very well save your motor. get one just for piece of mind.
all in all, dont get greedy, be caustious, dont let the speed bug get you and make you throw 150 jets until you confident enough, and research before you just go try it out.
i know a web site that goes pretty in depth about nitrous, ill try to find it and post a link up here for you.