This is how it works:
1. We are using OGRE, in OGRE you can choose which render system to use (based on OpenGL or DirectX)
2. On Linux OpenGL is used, on Windows DirectX
3. Windows comes with DirectX already installed,
(the SR windows installer.exe installs a DirectX redistributable, which is just the most common thing, it includes dx compiler and d3dx9 (stuff from DirectX SDK))4. You could choose GL on Windows too, some time ago (now it's broken) and it showed that DX gives about 15% more fps than GL (so it's not needed to fix it)
5. We have shaders, most of the crucial game shaders are written in shiny (.shader) which translates them to either hlsl or glsl (you need to use hlsl for DirectX, and glsl for OpenGL, see 2.). The rest is now written both in glsl and hlsl.
So, cg got replaced by glsl for GL and hlsl for DX (cg and hlsl syntax is I think compatible, we didn't change file extensions).
As for you questions:
1. I think yes. By BLOB you mean
this ?
2. On Linux SR uses GL and glsl only (and completely nothing from Microsoft is needed).
3. Long time ago

when cg was used you needed it to compile the cg shaders, but that's history.
Hope this clears a bit, I really don't know what do you mean, still after cg.