Both MySQL and Postgres are fine. Use whichever you or anyone on your team has experience with and/or is comfortable with.
The Rocket web server that comes with Web2py is great for development but most or all people use something like Apache or Nginx in production for various reasons, performance being just one. One way to learn how to do an install is to review one of the scripts provided with web2py: http://code.google.com/p/web2py/source/browse/#hg%2Fscripts You don't necessarily need to run them but instead can run each command manually so you get an understanding of what is going on and can fix problems as they arise. It's nice to do this on a cloud server so you can easily start over from scratch.
