Ok, by answering Yes to First and Second questions you've covered the basics on the Visual WebGui site.
The link I gave you (the one that didn't give you any pointers) was just a link to understanding the web.config file. As I understand UMBRACO, by watching the start of the video you linked, it's an ASP.NET application that has a bin folder and a web.config file. In order to make a Visual WebGui form work inside of it, you will need to copy all the required assemblies to the bin folder, meaning both your application's assembly as well as all the Gizmox assemblies and resource folders (if needed), and then you will have to merge the Visual WebGui web.config settings into the existing web.config of the UMBRACO website.
Did you already perform those steps ?
And yes, I think you should indeed post a question on the UMBRACO support site to see if there are any Visual WebGui users out there.