How do Critical Hits work?

Critical hits in Iron Heroes work like D20 critical hits: fixed numerical bonuses get multiplied (including weapon focus damage, stunt or challenge damage, Strength bonuses, and Power Attack) while dice-based bonuses (mainly Sneak Attack in Iron Heroes) do not.

Q: Does this mean Furious Strike damage multiplies on a critical hit?

Yes. Furious Strike grants a +1 to damage per token. Like strength bonuses to damage, or weapon focus bonuses, this extra, static, damage bonus is multiplied on a critical hit.

So with a longsword, one token of Furious Strike become +2 damage on a critical hit, with a battle axe it becomes +3 and with a pick is becomes +4.

Q: There are several feats and abilities that can be triggered when you score a critical hit. There are even some the can be triggered when you make a threat of a critical. Can they be used on creatures that are immune to critical hits?

Except for magic items (which can basically do whatever the GM wants in Iron Heroes), no.