The documentation is dense because it was written by a committee who were creating a common standard that would be implemented by multiple groups. The fact that it's still a good language in spite of that is pretty impressive!
To answer your specific questions, "form" is just a generic term for any sort of lisp code, whether it's an expression, quoted data, or a special form like defun, if, cond, lambda, etc.
Yes, you should learn the LOOP macro, the simpler iteration macros such as DO-LIST, as well as primitive types of loops (a function that recursively walks down a list, for example). You should learn the primitives because you this is how the nicer macros are implemented. The macros are there to save you time, so you'll end up mostly using them rather than writing everything out long-hand.
There is no setp, but setq is the primitive operation of setting a variable whose name is given by an unquoted symbol: (setq foo 42) sets the variable called foo to the value 42.
setf is magic. It generalizes setq to operate not just on variables but on places. A "place" is any expression that would ordinarily access some value. For example, if I have a list called foo, then the third item in the list is (third foo). I can get the value of that item by calling (third foo), and I can _set_ that value by calling (setf (third foo) 42).
defvar and defparameter are not very different from each other, except that defvar assigns the initial value to the named variable only if the variable isn't yet bound, while defparamter always sets the variable to the inital value you give. This means that if you load a file that has (defvar foo 42) in it, the foo variable will have the value 42. If you then change that value (by running (setf foo 24), for example), and then reload the file, the defvar form in the file won't overwrite the value you've set foo to, while a defparameter would.
For these kinds of questions I recommend the Common Lisp HyperSpec: http://www.lispworks.com/documentation/HyperSpec/Front/index...
The Permuted Symbol Index is usually where I start; it a sorted index of all the symbols, but symbols show up once for each word in their name. For example, if you go to the "I" page of the index (http://www.lispworks.com/documentation/HyperSpec/Front/X_Per...) you'll see that IF is listed, as you would expect, but also FIND-IF and MEMBER-IF. This is super useful, because you might only partially remember the name of what you're looking for, or you might be interested in these other related items that would have been hidden away in a normal index.