If you do not have an order status column in the orders table, you will need to add one.
the return address to add in the confirm page is the full URL to the checkout success page:
The order status wont be updated by the checkout success page though.
the page that will be used to update the order status is a page you will create but the customer will never see, it will be created to accept the paypal IPN post and update the order details.
The wizard does not give the option to configure express checkout by itself, but express checkout is configured if you select to use paypal payments pro.
You can set the checkout wizard to create payoa payments pro pages, then delete the checkout form added to the checkout page and only use the express checkout portion.