Good questions. That link is the site I use for locations also.
As a stam character, start with Night Silence and Ashen Grip. These are two trait sets and you can research those very quickly. Then keep the research churning, especially on medium armor. Hundings Rage is a great stam set and being able to craft your own is useful. It's a six trait set. Don't stress...it's not a rush...fill in research slots as available and it'll open quickly enough.
As a general rule, when researching it's helpful to research the traits your most likely going to want to craft and wear. It's therefore a good idea to focus on researching divines, infused and training for body pieces, and sharpened, precise and training for weapons. If you need traits for research, you can search guild stores, but honestly a lot of vets will make the stuff for free. Go to a capital city and put out a zone or guild chat asking for a specific line, like "New player here, can anyone make me medium divines armor for research." For many of us crafters the mats for this are totally worthless, and I'm always happy to throw a set someone's way for research.
To make set pieces you have to complete research in that armor weight and piece. For example, if you research divines and infused jacks, you can then make a Night Silence jack. But you cannot make a light armor shirt or heavy armor cuirass until,you research two traits in those items.
In terms of getting the set bonus, weights don't matter. Equip any 5 night Silence items (including weapons), and you'll get the buffs. To check buff status, look at the set's tool tip in your inventory under any equipped piece of that set. Buffs light up as they become active. If you see the 2, 3 and 4 piece buff lit but the 5th is greyed out, you're not getting that buff.
Note that you have 11 or 12 slots in total (7 body, 3 jewelry and 1 or 2 weapons. You can therefore stack more than one set on your character, although there are limitation because you can't craft jewelry, so you can't wear two 5 piece crafted sets. The point being that success in ESO is largely about maximizing thengear configuration, so wearing multiple sets is important.