The entire hard drive will be overwritten, dual booting with another OS is not supported. This is the preferred means of running pfSense software.
The USB memstick image is meant to be written to disc before use and includes an installer that installs pfSense software to the hard drive on your system. If you purchased a Netgate product, refer to the product manual for your appliance to see which reinstall image you need. The Netgate ADI image only supports a serial installation from memstick and does not come with VGA option.
The amd64 architecture (which works even on Intel 64-bit CPUs) can address more memory and may have other performance advantages, but requires a compatible CPU. If you have a 64-bit capable CPU, use the amd64 version. You can determine the files needed for your install by reading the rest of this page for guidance.