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1) If a skill is not listed when I type "skill", does that mean I am unable to learn it? IE: Normal bow, rapier, etc?
Morovik is right that a rapier counts as a sword, and so on. But you're right that if "skills" doesn't show sword, you can't learn to use them. (You can still wield one, but don't count on hitting anything with it.)
Typing "help skill" for any weapon skill will tell you what weapon types are included in that skill.
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2) I've checked the armouries and shops in the school, and cannot find a dagger to buy. Must I keep using my wooden practice dagger? Are there places that sell daggers elsewhere?
It's true you should be able to find daggers in Exile. (Mentors, or even random-passers-by, are great for directions.) But maybe this is a hint that daggers aren't the best possible weapons for you right now? If you're only getting one strike per round, a more substantial weapon should serve you better.
The exception to this is mages. You'll know you're a mage class if your skill listing shows "wands". Then you should be wielding a dagger in one hand, and a wand in the other. The "outfit" command will supply Amateur mages with a new practice wand, if needed.
That said, neither heavier weapons or wands can help you until you learn the corresponding skill.
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3) The warriors in the school that I've been fighting still con "a perfect match", but I defeat them fairly easily now. Should I be looking elsewhere? If so, where?
This is something to ask a mentor about. You'll find monsters outside the practice area -much- more challenging.
It can indeed pay to do this, but it's important to have appropriate equipment and skills. (For example, if you're primarily a weapon user, your weapon skill should be at least <very good>.) Certainly you'll need to progress beyond wooden practice daggers.
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4) When I try to train in dagger, or my amateur spells, the trainers tell me to get more experience. Does that mean all are maxed for my level? (3rd level, amateur) I can't even train in things I'm still bad, or haven't trained at all yet?
Morovik and Thuban have given you the essentials of trading XP for skills. Let me add there is no maximum except <mastered>. However, every trainer has his own limits on what he can teach. You will find Collegium trainers quite limited. Player-character mentors can do better. Some NPC teachers can do better yet - once you find them.
Also, the higher level the skill is compared to yours, the more XP it will cost you. If you think you need to learn a skill that's above your rank, definitely check with a mentor first. Likewise, you probably don't want to learn all those languages until at least level 5.
[Editted to add: Languages? Well, there are certain Amateur skills that everyone can learn, but don't appear in your skill listing until you start training them. That includes over 6 spoken languages, written languages, and swimming.]