A step into the 3rd dimension

[spirit bomb!]

Hello,

I am creating my first 3d video game. I am using DirectX 3d, and I really do find Direct X to be a fantazmic sdk to use. While the entire way that directX does what is does is rather easy to learn, playing with vertex buffers and index buffers seem to be more of a hassle than I thought. More specifically...

How should one manage their vertices and indices? Should I create a new vertex buffer for each new object? Should I create a vertex buffer for only similar objects? Should I only use one single vertex buffer? How does animation screw up the whole thing... if it does?

Even more specifically....
Which method of managing vertices + indices would be best for many moving objects fling about like bullets?

As most of my game programming experience comes from the second dimension, I have no experience with this mysterious z coordinate. So if you think I am even asking the wrong questions in the first placed, please offer a link or quick word of advice because I will appreciate ever word.

THANK YOU!