The harmonica is one of the easiest (and most inexpensive) instruments you can learn to play. It is a great way to get into music even if you don't have a musical background. There will be some difficulties when you start. You can't learn any instrument without facing any hurdles at all.

Yes, but you can speed up the process a lot by learning from others. There are many great harmonica tutorials on youtube, for example. Different teachers work on different styles of playing and different genres of music, but the most common is blues harmonica.

Diatonic (10 hole) harmonicas are a good starting point because what you learn (in particular, how to hold the harmonica, how to play single notes, and, I would recommend, proper tonguing technique) will translate to the chromatics, and you won't have to spend a lot to get a good 10 hole ($30 versus $140+ for a ...