Okay, first, start with the exhaust. If you like the Technigas, go for it. As far as I know that's a perfectly fine pipe (but you could search the forums for reviews of it if you want). Wait on the kit for now until you get some experience tuning your moped. Kits are more expensive and easier to screw up than a pipe, and you're going to want the pipe when you get a kit anyway.
A jet is a small metal screw with a hole in it that goes in your carburetor. The hole in the jet controls the amount of fuel going into your engine, usually at 3/4 to full throttle. Jets are numbered according to the size of the hole -- a 50 jet is going to have a smaller hole than a 70 jet. When you add performance parts to your moped, you generally increase the amount of air flowing through the moped. You need to maintain the proper air to fuel ratio to keep your moped happy. Because you increased the amount of air, you also need to increase the amount of fuel. You do this by putting in a larger jet than the one that's in your moped. There's a ton more info about all this in the wiki, so continue reading over there.
I dunno where you'd start with the brighter headlight either. As far as I know, you've got a 12v system and CDI ... those are the things that the rest of us add to our mopeds to make our lights brighter (Someone correct me if I'm wrong, though). It's possible you could change out your light for a different kind of bulb, or a spotlight or something (and that would be easier for you since most of those are for 12v systems), but I'm the wrong person to ask about that.