@caprera: Probably your first problem is that you are trying to do the UVmapping piecmeal. Dunno what this tutorial says on how to do it (I skipped that part), but try this method:
-Select your 'object'
-Right click, and choose the 'UVmapping' option (the bottom, I think) and Either [a]left click if it is a model that is completely new(never been UVmapped) or {b]press the RMB(right mouse button).
Either choice will bring up a new window, where you 'cut' out the faces to be laid on a flat texture. You have a couple of options here; you can either break up the faces into different colored segments(It becomes quite apparant how to do this), or the quicker method of just selecting certain edges and [right clicking--->mark edges for cut] You do understand the basic concept of uvmapping, hopefully. Two other great tutorials are the video ones by Highelf and Yosiboy. I just kinda glanced at them and dicked around in Wings for a while to figure it out on my own, so I am by no means an expert on this stuff. But, so far my stuff has worked.
Hopefully that gives you enough info to figure out the rest on your own
Oh,and as far as closed surfaces are concerned, Im fairly sure that means you didn't make a cut in a certain area, and Wings is so frigggin confused it spits out that error. Just check your mapping be [right click]--->[Uvmapping+middle mouse button]
Edit: also, check for faces in-between the top of the cheek guard and the helmet. Just right click--->Hide so they don't trouble you any more. Rember to rotate the helmet properly. I just exported the male_head mesh from vanilla and import it to get my helmets the correct size and proportions. Also, make sure you make all faces trianglated. Easy way to do that is select your faces, [right click]--->Tesselate--->Triangulate......