Hi Rotrhed. Have you tried tuning the frequencies in using the instructions in the manual you have? From a quick google it looks like a handheld with a built-in whip antenna. That should be good enough to pick up many airborne transmissions, but probably not ground or atis.
If you need an antenna you could use anything from coat-hanger to a store-bought model, and the choices are plentiful. Some of your questions might be answered on the LiveATC.net FAQ