If it's just a regular APSX page (and not a User Control - ASCX) then you can simply place it in the root of the DNN Install along with Default.aspx

The URL would be something like this: http://www.yoursite.com/IPN.aspx (where IPN.aspx is the page name)

1) Please check module development. I use WAP but you might use the default development module by which you place your code in the App_Code dir. You code goes either in a class in this directory or in the project for WAP. Once you compile the code is hit from your code to the code behind.
2). https/ http is working for us. I guess you can use https for Paypal and have your site run insecure. But it is not recommended and maybe even not allowed by paypal. You need to check the admin settings where the https is defined (SSL) and turn it on. Then enable on each tab the 'enable / secure' setting to true. Then that page will be rewritten to https automatically. You can set it for your login and register pages so that they are secure as well. Then the user of paypal goes back to a tab page in DNN which you also set secure. If you receive a postback from the server (not over the client of paypal) you need to add a empty aspx page which handles the logic.

for us:
Server: serverresponseOfPaypal.aspx (in root of website to avoid long names with querystring params of payment provider). Is called with https:
Client: Checkout.aspx of DNN if also called with https

Take notice to code with relative paths like /image.jpg in your https pages. Otherwise your browser will popup insecure message warnings that there are non-https url's on a https page.