In terms of rebuilding the shock, there are similarities between models but there are unique differences between them that make it impossible to review all of the nuance. I'll only give a high level response to the rebuilding component.
I can't figure out the low/high speed or the rebound/compression dampening.
I'm wondering how I adjust all of the that?
You should have a very beautiful and nicely printed booklet providing instructions for the various settings, spring selection, maintenance and installation. It would look something like this.
Depending on the model of shock, you indicated you have a nitrogen shock, the location of the setting dials are on the top, the piggyback or the remote bladder on the end of the steel braided line. See page 7 of the PDF.
Compression Dampening - At the top of the shock, the piggyback or remote unit. High speed compression dampening is always adjusted by the nut with a 12mm wrench or the dial on the higher end models. The screw in the middle of the dial or the nut is always for low speed dampening. Turning the screw or nut clockwise always increases the dampening and counter-clockwise always decreases the level of dampening.
Rebound Dampening - This is at the bottom of the shock and should be a dial or a nut. It's wrapped around the piston shaft which moves in and out of the shock body. It's mounted on the shock body.
Shock Length - This can be at the top or bottom of the shock depending on the model. You will see the lock nut pair on the shaft to adjust length. In the image below it has a blue anodized nut.
Spring Pre-load - Adjusted with the very nice spanner wrench that should have come with the shock. Decreasing spring length increases pre-load and stiffness.
Is there a rebuild procedure for these shocks?
Yes, there is. You can get kits for your model. Oil seals, bladder, rubber bumper, oil and ball joints. I always use the Ohlins recommended and branded oil.
Inspection points - From the Ohlins website and linked pdf
Check ball joints for excessive play - each end of the shock
Check the piston shaft/rod for leaks and dings
Check the external reservoir for damages that can restrict the floating piston from moving freely
Excessive wear of rubber components
Check that the shock absorber is securely fastened to the vehicle.
Check the hose equipped models for leaks on the hose and inlet plugs.
Of course, in general look for dirt building up on oil that may be emerging from the shock itself. You can get the shock charged at a shop, buying the nitrogen and the equipment to charge it without blowing out the seals is cost prohibitive.
Repair Manual for 2006 Models I included this because I'm going to make the leap you procured from Ebay. 2006 models are cheaper and they made them for your bike and the 750 and 1000. The differences are in the shim stack and the spring you would get to go along with it.
How do I do the baseline setup of the shock?
This is a novel within itself. Here is a video. This guy does pretty good. He shows measuring points, sag setup, etc.
If you don't have Ohlins forks and are going to stick with stock, see about a cartridge replacement from Racetec.
Look at the diagram in this post regarding the cartridge. The shim stack in the diagram is what makes these USD's tuneable and rebuildeable. Don't think about the nitrogen charged forks, they're as much as your car.
Take a suspension clinic at a track day, they have them at almost all of them.
Take it easy on your first few rides. The bike will feel different because it is. Don't hammer through any high speed corners out of the gate. Take it easy, get a feel, learn more and tweak on it.
Oil Flow Diagram
Here's a reference for you to get an idea of what you are dealing with regarding oil flow. If you understand the oil flow then you can begin to understand what you are actually adjusting, which is essentially a needle inside a shim stack. Think Needle Jet/Jet Needle, right?