How and where to "include" BROWSED BY, SHOP BY, COMPARE, LATEST PRODUCTS etc?

I would like to "include" those left hand side menu: BROWSED BY, SHOP BY, COMPARE, LATEST PRODUCTS etc to any pages that I like to do so.

you would need to understand magento layout concept to know where to put your blocks in layout files, you can read this tutorial for more understanding

And for the SHOP BY pricing range, how to set our own pricing range?

In your back-end navigate to System >> Configuration > Catalog there under the Layered Navigation panel you would see an option name Price Navigation Step Calculation you can select this to Manual and then define for those options under it