I have a Sony laptop that's working fine in 3.4 with the 2.6 kernel (PCG-FXA47, IIRC). I do seem to recall that I had to d/l some BIOS and other upgrades from Sony to get it to work right. Try the Sony support website and make sure you have everything you need.

I use a USB key. My laptop has a floppy drive, but I can't even remember the last time I used a floppy. Thumbdrives have gotten so cheap that there's no need. Everytime bigger ones come out, the smaller ones go on sale for $10-20 after rebates, and I pick a few up. Right now, I have a 64MB Lexar that's serving quite adequately as my persistent home. I don't use dialup (I use DSL), so I don't know about the modem. I can't advise you on the HD install - I still don't trust dual boot from a single HD, but with a laptop, there's not too much choice but to do that, at least for a REAL HD install. I have my HD partitioned with one NTFS partition for Windows and FAT32 for the rest. I might consider doing a "poor man's" or "beginner's" install, essentially doing the same as live CD, so that you still need a persistent home and saved configuration, but you don't run the risks associated with a bootloader. If your BIOS will support it, there are articles in the DOCS tab at the top of the page which explain how to boot from a thumbdrive.