After you light it tunnie......cover the air holes up with thumb and finger (it looks likes theres two holes, both sides of the pipe)....you will see the blue flame turn yellow......yellow flame is cold heat, no good, blue flame has the heat 
Is there a grill that goes over the burner that coals sit on?
Ahh ok, it turns yellow due to lack of oxygen? and its just burning gas otherwise?
yes there is a rack thing that sits above it, and then a metal grill above that.
I wonder if its best to buy coal here, or out in Holland :-/
Correct
no oxygen and yellow flame, gas and oxygen = blue flame
If it didnt come will coals, you need artificial coals tunnie, not real ones
You dont want them to burn
Just glow red and evenly distrubute the heat from the burner 
OoOoO!
Can you tell i don't normally cook stuff? 
Are artificial coals easy to source?
Most places that sell gas bbq's should sell the artificial coals seperately as well, they aint usually cheap, but you only need to buy them once
They need to completely cover the grill, just one coal high, if you see what i mean, measure the size of the grill before you go shopping, so then decent shop keeper will know how many you need, or it may even say on packets what size grill they cover

Lid closed is usually just for heating up, lid open for cooking, except when maybe cooking chicken legs/etc, then its v low heat and lid closed......but i find it easier to easier to cook chicken in the oven first and just brown/burn the skin on the bbq
