1. You have not annexed them ("Sue for peace > annex"). Thus the war went on. After ten years of no hostilities, an automatic white peace (everybody back to where they started) is enforced.
2. Annex it.
3. For colonists, just click on the empty province and select "send colonist". You need to discover the provinces before. For this you need an explorer, which requires to have the national idea "Quest for the new world", which becomes available once you researched trade tech level 7. You need appropriate "colonial range" as well, so depending on naval tech, your ability to colonise is a bit limited in range at the beginning.
For missionaries, click on the button "send missionary" in the province screen. It is next to the icon of the religion. You will only need missionaries for provinces you conquered from pagans or other religions; your colonies share your religion from start.