basically this is probably my favourite harry potter book. a lot of character and a lot of internal darkness. Basically its about a mind connection between voldemort and harry that allows eachother to see eachothers thoughts and actions. Pretty sick if you ask me. The story also revolves around the order of the phoenix who is an organization trying to stop voldemort.
now for you questions

1. Yes harry and friends do go into battle with the death eaters over a prophecy sphere which is believed to hold the secrets to what voldemort believes is how he will be able to kill potter. The order of the phoenix become involved in the battle later and there is a major death of a loved character.
2. it does look blue and foggy which could make you think it will take place in the london streets but that is not where the battle happens. It happens in the department of mysteries in the ministry of magic at night time. The death eaters are attempting to get the prophecy. its a very cool setting and ull see for yourself on july 13.
3. in the final shot a number of guards from the order of the phoenix are escorting harry to the order of the phoenix hideout where his friends and others await his arrival. they get him there by going to private drive and flying back to the hideout with him via broom stick. It should also be noted that at the beginning of the film harry and his cousin endure a dementor attack.