You set tab order in an MFC dialog control the same way you set tab order in an ordinary dialog control... You use Format / Tab Order (Control-D) in Visual Studio (2010) and then click the controls in the order you want, the press enter.
Alternatively, you can change the order of the EDITTEXT macros in the RC file.
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You can configure your own controls. Just go to Options->Joypad->Configure->1... and you can set all the controls there.
A modal dialog box doesn't allow the user to access the parent window while the dialog is open - it must be dealt with and closed before continuing. A modeless dialog can be open in the background.
That is like comparing apples and trees... Visual C++ is a development environment that allows one to program in C++, which is a language. MFC (Microsoft Foundation Classes) is a library to allows one to use C++ to write MS Windows programs using a particular set of API-like calls. It is a library, not a language. The two cannot really be compared, as they are too different in scope.