Okay, you obviously want an answer to your questions, so I'll see if I can help.
- "Drop sets" are an advanced training method used to increase "intensity". Seeing as you are posting this in the beginner section, I would honestly suggest that you not do them.
You can still make plenty of progress without needing to start implimenting advanced methods at this point in your training.
Just focus on lifting more weight or the same weight for more reps each and every workout. If you want to go to failure that's fine IMO. Also, make absolutely certain that your diet is in check. Most beginners have a really hard time realizing that diet is equally important to training in terms of building muscle.
- Yes, personally I would suggest doing Chest, Shoulders, and Triceps on the same day. That way those muscles have a significant amount of recovery time before they get overloaded again.
I would not suggest doing a day of only arms on Wednesday though. If you want to do a 3 way split (the forth HIIT day not included), then a "Push/Pull/Legs" split would probably be ideal.
Mon- Push- Chest, shoulders, Triceps
Tues- Pull- Back, Biceps, forearms
Thurs- Legs- Quads, Hams, Glutes, Calves
Sat & Sun- Off
That should assure that all of your major muscle groups get worked. It also includes little if any cross over of body parts.
Hope this helps.