BigDog, it is a 12" Lodge dutch oven. Usually you can find them for around $30-40 at BB&B, or LNT. A good dutch oven is worth its weight in gold!
Biggun, a roux is very easy as long as you take it slow. Warm the oil over medium heat until it just starts to smoke, then reduce to medium low and stir constantly. Make a bunch, and keep some in the freezer. Alton Brown also does it in a 350* oven until it reaches the right color. I haven't tried it that way, but it is Alton is usually correct, and he puts a lot of thought into his ideas. A roux is a traditional base for many stews, gravies, gumbos, etc...
As for burning, the moisture in the veggies helps to keep things from burning. Give it a try!
Nauti-Que BBQ Team
Pitmaster and KCBS CBJ & CTC